Chinese Stock Screening with Intraday Price and Moving-Average Filters

Summary

This Chinese stock-selection example combines three filters: daily amplitude above 1, a 9:25 price increase below 6%, and a rising-trend condition. Its reference formula represents the trend condition with the 5-day moving average above the 10-day average, which is above the 20-day average. The accompanying Python example describes using market data to screen listed stocks with amplitude, opening-price change, and moving-average checks.

The article frames the screen as a short-term selection method intended to find stocks with favorable near-term movement and an upward trend. It does not provide performance results, a defined holding period, or a complete risk-management or execution plan. It warns that trend identification can fail, particularly in unusual market conditions, and that short-term filters may overlook longer-term trends and fundamentals. There are also implementation ambiguities: the amplitude calculation and threshold handling in the Python example do not clearly match the stated filter, and its data assumptions are not validated. The screen should therefore be treated as an illustrative rule set rather than demonstrated evidence of profitability.

Key ideas

• The screen combines daily amplitude, the 9:25 price change, and a moving-average trend filter.
• The reference formula defines an upward trend as the 5-day average above the 10-day average and the 10-day average above the 20-day average.
• The article presents the method as a short-term stock-selection approach but provides no performance evidence.
• Trend signals can be unreliable, and short-term filters may miss longer-term conditions and company fundamentals.

Tags

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