Combining Position Increase, Sharp Daily Declines, and Moving Averages

Summary

This document proposes a Chinese stock screen requiring a reported position increase above 5%, a daily maximum decline between 4% and 5% in magnitude, and a 20-day moving average above the 120-day average. The intended combination looks for buying activity during a sizeable pullback while retaining a longer-term upward trend filter. The article suggests adding financial quality measures and other technical indicators, and adjusting thresholds to market conditions.

It warns that unstable sentiment, company or policy news, and alternative investment opportunities can undermine the screen. No backtest or return evidence is supplied. The accompanying Python example is only a rough reference and does not clearly implement the stated conditions: its buying-power proxy uses rolling sums of closing prices, and its drawdown calculation does not directly express the specified daily decline band. Results from that code should therefore not be treated as evidence for the written strategy without correcting and validating the definitions.

Key ideas

• The proposed screen combines a position-increase threshold, a bounded daily decline, and a short-over-long moving-average condition.
• The strategy’s intuition is to find buying activity during a pullback within a longer-term uptrend.
• The article recommends adding financial filters and adapting thresholds to changing market conditions.
• No performance evidence is given, and the sample code’s calculations do not clearly match the stated rules.

Tags

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