Chinese Stock Screening with Volatility, Size, and a Rising 30-Day Average
Summary
This note describes a Chinese equity screen combining daily price range, free-float market capitalization, and the direction of the 30-day moving average. It selects stocks with an intraday range of at least 1%, free-float capitalization above 10 billion yuan, and a rising 30-day average. The stated rationale is to favor active trading, larger companies, and an upward short-term trend.
The document flags that the screen omits company fundamentals and industry conditions, and that short-term trends can be distorted by market sentiment. It suggests adding valuation, profitability, and other technical measures for a broader assessment. The accompanying examples illustrate indicator syntax and a basic selection workflow, but do not provide a performance evaluation; the Python example also does not implement every stated filter consistently. Treat the screen as a simple candidate-generation rule, not evidence of a validated strategy.
Key ideas
- The screen requires an intraday price range of at least 1%.\nIt filters for free-float market capitalization above 10 billion yuan.\nA rising 30-day moving average serves as the trend condition.\nThe note warns that fundamentals, industry factors, and sentiment effects are not adequately captured.\nNo backtest or measured returns are presented.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.