Chinese Stock Screening with Moving Average Trend and Auction Volume

Summary

This Chinese equity screening rule combines a short-term trend filter with an opening-auction activity measure. It selects stocks whose 20-day moving average is above the 120-day average, then ranks funding strength using yesterday’s turnover rate relative to today’s auction volume; the stated qualifying ratio is above 0.5 and below 2. The document presents this as a way to find stocks in an upward trend with notable trading interest.

The discussion warns that unusually strong activity may precede a rapid short-term rise, while buying after a trend is established can mean chasing prices. It suggests adding indicators such as MACD and valuation measures such as price-to-earnings ratios. No backtest, performance figures, or empirical evidence are provided, and the relationship used as a proxy for funding strength is not further validated. The rule is therefore a screening concept with stated risks, rather than a demonstrated trading system.

Key ideas

• The screen requires the 20-day moving average to exceed the 120-day moving average.
• It uses a ratio involving yesterday’s turnover rate and today’s auction volume to represent funding strength.
• The stated qualifying ratio is greater than 0.5 and less than 2.
• The document cautions that strong activity and established uptrends can both expose buyers to short-term risk.
• It proposes adding technical and fundamental measures, but provides no test results.

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