Chinese Stock Screening with Range, Moving Average, and Turnover Filters

Summary

This Chinese stock-selection post describes a screen combining three conditions: daily price amplitude above 1, an upward-spreading moving-average signal, and prior-day turnover above 60 million. The intended candidates have noticeable price movement, an upward price trend, and active trading. It gives a formula-style reference and a Python example, though the implementation includes additional price-to-book filters that are not part of the stated final screening logic.

The post provides no performance results or evidence that the screen produces superior returns. It warns that amplitude and moving-average signals can be distorted by short-term speculation, while turnover can reflect broader sector or market swings. It suggests adding fundamental or capital-flow measures and periodically reviewing the screen, but does not specify how to validate those additions. The criteria are therefore a basic screening idea, not a complete trading or risk-management system.

Key ideas

• The screen selects for amplitude above 1, an upward-moving-average condition, and prior-day turnover above 60 million.
• The criteria are intended to identify active stocks with upward price action and liquidity.
• Short-term speculation and broad market movements can distort the indicators.
• The example code adds price-to-book filters that are absent from the stated final logic.
• The post provides no backtest or return evidence for the screen.

Tags

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