Chinese Stock Screening with Moving Average Trends and Daily Range

Summary

This note presents a Chinese equity screening rule based on daily price range and moving averages. It selects stocks whose high-low range is at least 1% of the previous close, whose 20-day moving average is above the 120-day average, and whose 30-day average is rising. The proposed interpretation is that range identifies active price movement while the averages indicate an upward trend. The article’s refined version additionally describes a positive slope for the 30-day average and suggests combining the screen with other signals and risk controls.

The document includes formula and Python examples, but the implementation details are not fully consistent: the code uses a linear regression slope of closing prices as a proxy for the 30-day average’s slope. The author cautions that the rule omits fundamentals and broader market conditions, can be vulnerable to false breakouts, and may behave poorly in volatile or unusual markets. No historical test or performance evidence is supplied. Stop and profit-taking rules are suggested, but not specified.

Key ideas

• The screen combines a daily range threshold with a short moving average above a longer one.
• A rising 30-day average is used as an additional trend filter.
• The note interprets higher daily range as greater price activity, not as evidence of profitable opportunity.
• The author warns about false breakouts, omitted fundamentals, and unstable behavior in unusual markets.
• The code approximates the average’s slope using a regression slope on closing prices, and no backtest is reported.

Tags

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