Chinese Stock Screening with Volatility, a Five-Day Average, and Listing Age
Summary
The document describes a Chinese equities screening approach that selects stocks using three conditions: daily price range relative to the previous close, closing price above its five-day moving average, and listing age above a user-set threshold. It interprets the volatility condition as a way to find short-term trading candidates, the moving-average condition as a trend filter, and listing age as a rough screen for companies with more operating history. It also suggests adding profitability and industry prospects to the screen.
The article provides formula examples and sample implementations, but no backtest, performance figures, or evidence that the rules predict returns. The examples are not fully consistent: the stated amplitude threshold and code scaling differ, and the listed-age calculation and historical-price handling may need adjustment. The article itself flags overfitting, frequent trading, and transaction costs as risks, and cautions that short-term price signals do not capture changes in business outlook or competition.
Key ideas
- The screen combines price amplitude, a close above the five-day moving average, and a configurable minimum listing age.
- The moving-average condition is intended to favor stocks with recent upward price trends.
- The article recommends adding profitability and industry outlook when assessing longer-term value.
- No performance testing is provided, and the sample implementations contain inconsistent threshold conventions.
- Frequent trading, transaction costs, and overfitting are identified as risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.