Combining Moving-Average Clustering, Valuation, and Recent Limit-Ups

Summary

This Shenzhen main-board stock screen combines five clustered moving averages—5, 10, 20, 60, and 120 days—with price-to-earnings between 0 and 29.01, price-to-book between 0 and 3.11, and more than two limit-up days in the previous 10 days. The article presents moving-average clustering as a sign of a relatively stable price configuration, valuation bounds as a way to avoid extreme multiples, and recent limit-ups as evidence of strong recent market interest.

The author warns that the rules omit broader market conditions and sentiment, that a weak market can still pull down qualifying stocks, and that the filters may produce no candidates. The suggested next step is to combine the screen with additional company and market assessments. No backtest or performance evidence is reported, so the rationale remains qualitative and does not establish profitability.

Key ideas

• The screen requires five specified moving averages to cluster and limits eligible stocks to the Shenzhen main board.
• It constrains price-to-earnings to 0–29.01 and price-to-book to 0–3.11.
• A qualifying stock must have more than two limit-up sessions in the prior 10 days.
• The article notes that market conditions can overwhelm stock-level signals and the screen may return no candidates.
• The document provides qualitative rationale but no performance evaluation.

Tags

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