Chinese Stock Screening with Moving Averages, Returns, and Volatility

Summary

This note describes a Chinese equity screen combining daily range, trend, and recent price performance. It looks for stocks with a daily high-to-low range above 1%, a 20-day moving average above the 120-day average, and a positive 10-day return below 35%. The trend filter aims to favor stocks whose shorter-term direction is stronger than their longer-term direction, while the return cap excludes the strongest recent movers. The range condition selects for some degree of price movement.

The document gives screening logic and illustrative formula and Python references, but it does not report a backtest, performance results, or evidence that the conditions predict future returns. It flags the limits of relying on short-term price action without company fundamentals and notes that narrow rules can exclude other candidates. Suggested refinements include checking business and financial quality and managing position sizes. The Python example does not fully implement the stated moving-average conditions, so it should not be treated as a faithful test of the described screen.

Key ideas

• The screen requires a daily price range above 1% and a 20-day average above the 120-day average.
• It selects stocks with a positive 10-day return below 35%.
• The document offers no performance evidence or backtest results for the screen.
• It recommends considering company fundamentals and controlling position sizes.

Tags

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