Chinese Stock Screening with Volume Ratio, Moving Averages, and Gap Limits

Summary

This document describes a Chinese stock screening approach that ranks shares by volume ratio, keeps the top 100, and requires the 5-, 10-, and 20-day moving averages to be aligned upward. It also limits the opening gap, calculated from the open and prior close, to below 6%. The post proposes additional filters using MACD, RSI, trading volume, and turnover, including thresholds for each, but gives no performance evidence or completed backtest results.

The author says volume ratio can indicate buying activity, moving-average alignment can represent an upward trend, and the gap cap can screen out sharp opening moves. These are hypotheses rather than demonstrated effects. The post itself flags possible manipulation of volume ratio and the risk that moving-average signals fail under changing market conditions. It offers no rules for position sizing, exits, transaction costs, survivorship bias, or market regime selection, so the screen should be treated as an illustrative stock selection recipe rather than a validated trading strategy.

Key ideas

• Rank stocks by volume ratio and retain the highest-ranked candidates.
• Require the short- and medium-term moving averages to form an upward alignment.
• Filter out stocks whose opening price is 6% or more above the previous close.
• The proposed expanded screen adds MACD, RSI, volume, and turnover conditions.
• The document provides no backtest evidence and notes that indicators can be unreliable or manipulated.

Tags

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