Combining a Moving Average Trend Filter with a Volatility Screen

Summary

This document presents a historical stock selection rule for Chinese equities: select stocks in 2021 whose 20-day moving average is above the 120-day moving average and whose daily range exceeds 1% of the previous close. The moving average comparison serves as a trend filter, while the range condition selects stocks with some price movement. The article also gives example screening logic and discusses adding fundamental analysis, valuation, growth prospects, and broader market context.

The material provides no performance study or evidence that the rules produced favorable results. Its examples are inconsistent: the stated approach refers to a range greater than 1, while the code uses a percentage calculation and includes extra conditions, such as a price-change threshold and a market-value filter. The date logic in the sample code is also not clearly aligned with selecting the full year 2021. The article warns that results depend on the chosen period and that technical filters alone may neglect business fundamentals.

Key ideas

• The proposed screen requires the 20-day moving average to exceed the 120-day moving average.
• A daily price range above 1% of the previous close is used as a volatility condition.
• The stated selection period is 2021, but the code examples add conditions not clearly explained in the rule.
• The document recommends considering fundamentals, valuation, and market context alongside technical filters.
• No backtest results are supplied, and outcomes may vary across time periods.

Tags

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