Combining Revenue Growth, Valuation, Moving-Average Clustering, and Price Momentum

Summary

This note proposes a Chinese equity screen using small market capitalization, revenue growth, valuation ratios, clustered moving averages, and recent price appreciation. The initial description calls for at least five moving averages to overlap, no losses, and 2021 revenue exceeding 2018 revenue by a stated threshold. A later version changes the criteria to annualized revenue growth above 15%, price-to-earnings below 20, price-to-book above 1.5, at least four of five moving averages clustered, and a six-month gain of at least 30%.

The article presents these filters as a way to combine business growth, valuation, and price trends, but provides no backtest or measured results. Its prose, final criteria, and sample code are inconsistent: the code compares all five averages for equality rather than allowing four to cluster, and its shifted-price comparison may not represent six months depending on the data frequency. The note also flags small-cap volatility and the risk that short-term market signals can distract from longer-term business prospects.

Key ideas

• The proposed screen combines revenue growth and valuation filters with moving-average clustering and recent price gains.
• The article gives different versions of the screen, including conflicting moving-average requirements.
• The sample code does not faithfully implement the stated allowance for four clustered averages.
• No performance results are supplied, and small-cap volatility is noted as a risk.

Tags

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