Chinese Stock Screening with Volatility and Moving-Average Filters

Summary

This stock-selection screen combines three price conditions: daily amplitude above 1, the stock’s average price above its five-day moving average, and the previous day’s close above its 250-day moving average. The document interprets these as a mix of short-term price activity, near-term price strength, and a longer-term upward trend. It provides formula examples for screening and notes that implementation details may need adjustment.

The screen is purely price-based and does not assess company fundamentals, valuation, or broader economic conditions. The author suggests that traders could add indicators such as KDJ or RSI and consider financial and macroeconomic data. No backtest, return figures, or comparative evidence is supplied, and the text cautions that rapidly changing prices and trading behavior create uncertainty.

Key ideas

• The screen selects stocks with daily amplitude above 1 and price above the five-day moving average.
• It also requires the previous day’s price to exceed the 250-day moving average.
• The rules combine a short-term activity filter with near-term and long-term price-trend filters.
• The screen omits fundamentals and valuation, and the document provides no performance testing.

Tags

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