Chinese Stock Trend Screen Using Moving Averages and Trading Value

Summary

The proposed screen selects stocks whose 20-day moving average is above the 120-day moving average, then requires prior-day trading value above 60 million yuan. The moving-average relationship is used as a medium-term trend filter, while the trading-value threshold is intended to favor more actively traded shares. The article later proposes tightening the screen with price-to-earnings below 30, price-to-book below 2, and sound financial condition, but these additions are recommendations rather than tested rules.

The note cautions that trading activity and price trend alone do not establish investment quality and may omit valuation, company finances, and industry outlook. Its code example is incomplete, ending before the calculation is specified, so it does not provide a runnable implementation. No backtest, comparison, or performance data supports the screen, and the suggested valuation and financial criteria lack operational definitions.

Key ideas

• The core trend condition is a 20-day moving average above the 120-day average.
• The screen requires prior-day trading value above 60 million yuan.
• The article suggests valuation and financial-health filters as possible additions.
• Trading value and moving-average direction do not assess a company's full investment quality.
• The code is incomplete and the article gives no backtest evidence.

Tags

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