Chinese Stock Screening with Range, Turnover, and Moving Averages

Summary

This Chinese equities screen selects stocks with a daily amplitude above 1, a turnover-based measure between 0.5 and 2, and at least five moving-average conditions satisfied. The turnover measure is described as yesterday’s turnover rate multiplied by today’s opening-auction volume relative to yesterday’s volume. The accompanying discussion frames these filters as a way to combine price movement, trading activity, and technical conditions.

The article supplies indicator formulas and sample Python logic, but reports no backtest or return evidence. Its implementation also includes additional checks, so the code may not map cleanly to the stated screening rule; the auction-volume calculation should be confirmed against the intended definition. The article identifies potential drawbacks, including a small number of qualifying stocks, changing market sentiment, missing trend support and company fundamentals. It suggests adding trendline and fundamental criteria, without testing their effect.

Key ideas

• The screen requires daily amplitude above 1 and a turnover measure between 0.5 and 2.
• It also requires at least five moving-average conditions to hold.
• The article provides formulas and sample code but no performance evidence.
• Market sentiment, stock coverage, trend support, and fundamentals are identified as limitations.
• Suggested additions such as trendline and fundamental filters are not evaluated.

Tags

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