Chinese Stock Screening with Daily Range and Five-Day Average

Summary

This note describes a short-term Chinese equity screen using three conditions: daily price amplitude above 1, no limit-up close on the prior day, and the stock’s average price above its five-day moving average. It frames the screen as a way to find stocks with recent upward momentum and activity, and includes a charting-platform indicator reference and sample Python selection logic. The code is illustrative rather than a fully specified, validated implementation.

The note gives no backtest, return figures, or comparative evidence for the screen’s performance. Its main caveat is that it relies on technical conditions and omits company fundamentals, while market shocks and company financial circumstances can affect prices. It suggests adding fundamental measures and defining exit and stop-loss rules, but does not specify how to choose or test those parameters. The screen may serve as an initial filter for short-term research; the document does not establish that it predicts returns or suits long-term investing.

Key ideas

• The screen combines daily amplitude, the prior day’s limit-up status, and price relative to a five-day moving average.
• The stated purpose is to identify stocks with short-term upward momentum and activity.
• The document supplies indicator and sample selection references but no performance evaluation.
• It recommends considering fundamentals and defining exits and stop-loss levels to address omitted risks.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.