Chinese Stock Screening with Moving-Average Trend Filters

Summary

This document describes a Chinese equity screen combining a daily amplitude condition with short- and long-term moving-average comparisons. It selects stocks whose five-day average is described as diverging upward and whose 20-day average is above the 120-day average. The article also gives example indicator and Python implementations, though the wording and code do not fully align on how the short-term direction is measured.

The rationale is to identify stocks showing recent strength and a broader upward trend. The document offers no backtest, performance statistics, or evidence that the filters predict future returns. It cautions that moving averages can lag and that a technical-only screen may miss company fundamentals and industry conditions. It suggests adding financial and sentiment measures, but does not specify how to combine or test them.

Key ideas

• The screen combines an amplitude threshold with short- and long-term moving-average conditions.
• It uses the 20-day average being above the 120-day average as a broader trend filter.
• The written description and example implementation differ in how they express upward movement.
• Moving-average signals can lag, and the screen does not account for fundamentals or industry strength.

Tags

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