Chinese Stock Screening with Volatility, Moving Average Proximity, and Limit-Ups

Summary

The document describes a Chinese equity screen combining daily price range, the opening price’s distance from the 10-day moving average, and a history of limit-up sessions. Its example selects stocks with an amplitude above 1, an open within 5% of the moving average, and at least two gains above 9.5% over the previous 500 trading days. It gives both indicator-formula and Python examples, though the Python rolling calculations and the prose description do not make every timing detail fully clear.

The rationale is that elevated range indicates volatility, proximity to the moving average may indicate consolidation, and past limit-ups may signal market attention. The article provides no backtest, performance evidence, or detailed entry and exit rules. It warns that the screen overlooks fundamentals and longer-term trends, and that the timing and prices of limit-ups matter. It suggests adding fundamental checks and more responsive technical or volume-price measures, but these extensions are proposals rather than tested improvements.

Key ideas

• The screen combines price amplitude, opening price near a 10-day moving average, and a history of limit-up sessions.
• The examples define proximity as an opening price within 5% of the moving average.
• The document interprets volatility, consolidation, and prior limit-ups as possible selection clues.
• It provides no backtest or complete trading rules, and flags missing fundamental and trend analysis.

Tags

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