Combining Moving Average Crossovers, Price Range, and Limit-Up Filters

Summary

This note describes a Chinese-equity screen that combines a price-amplitude threshold, simultaneous bullish crosses among three moving averages, and exclusion of stocks that hit the prior day's upper price limit. Its example uses short, medium, and longer moving averages, while leaving their periods adjustable. The accompanying selection logic also ranks candidates by turnover in the sample code.

The document explains the rationale only at a high level: pairing crossover signals with a range filter may identify active stocks, while excluding recent limit-up stocks changes the candidate set. It gives no backtest results or evidence that the screen is profitable. The author flags reliance on technical signals alone and suggests adding fundamental, valuation, and industry considerations. The supplied formula and Python example are references, and the period settings and market-specific limit rules would need careful adaptation before evaluation.

Key ideas

• The screen combines a price-amplitude condition with bullish crosses among three moving averages.
• It excludes stocks whose prior-day return meets the stated limit-up threshold.
• The example leaves moving-average periods adjustable and orders selected stocks by turnover.
• The document provides no performance evaluation and cautions that technical signals omit fundamental and industry information.

Tags

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