Chinese Stock Screening with Weekly MA Crossovers and Price Momentum

Summary

This stock screen selects Chinese equities with amplitude above a stated threshold, a weekly five-period moving average crossing above the ten-period average, and a positive but bounded return over ten days. Its rationale combines volatility, a trend change, and recent price appreciation to find stocks with potential near-term upside. The document also provides an example implementation outline that calculates rolling averages and checks a recent return window, though the code does not clearly implement every stated screening condition.

The author warns that the screen omits industry and fundamental considerations, and that volatility and moving-average signals can be distorted by broad market moves or herd behavior. Suggested refinements include adding sector, fundamental, and technical measures, or using machine learning, with care in choosing the data period. No backtest results or evidence of returns are provided, and the strategy description recommends combining the screen with broader analysis rather than treating its signals as sufficient on their own.

Key ideas

• The screen combines volatility, a weekly moving-average bullish crossover, and bounded ten-day momentum.
• The stated selection rules aim to find stocks with potential short-term upside.
• The code outline may not capture every described condition.
• Market conditions, sector effects, and omitted fundamentals limit the screen.
• The document provides no backtest evidence for its performance.

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