Chinese Stock Screening with Price Range, Five-Day Average, and Control Metric

Summary

This Chinese equity screen selects stocks with daily price amplitude above one percent, an average price above the five-day moving average, and a positive “control” measure above a stated threshold. The accompanying description presents these conditions as a combination of volatility, short-term price direction, and trading-volume-weighted price change. It gives an indicator formula that sums volume multiplied by the change in closing price over a lookback window, divided by summed volume.

The article includes sample selection logic, but it does not provide a backtest, benchmark, or evidence that the screen improves returns. It acknowledges that the control measure is not clearly defined and may be inaccurate, and that the screen omits company fundamentals and market sentiment. The stated threshold also appears difficult to reconcile with the formula’s scale, and the sample code does not clearly implement the listed amplitude definition or threshold. The screen is therefore best treated as an illustrative rule set requiring data and formula validation.

Key ideas

• The screen combines daily amplitude, price position relative to a five-day average, and a volume-weighted price-change measure.
• The control measure is described as a rolling sum of volume-weighted closing-price changes divided by rolling volume.
• The article says the measure is ambiguous and may contain error.
• No historical performance results or comparison with a benchmark are presented.
• The sample formula and code may not align cleanly with the stated threshold and conditions.

Tags

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