Equity Screening with Moving-Average Crosses and a Sharp-Decline Filter

Summary

The document proposes a short-term Chinese equity screen using a price-range threshold, three moving-average crossover conditions, and a daily decline constrained to between 4% and 5%. It frames the combination as a way to identify stocks that might rebound after a steep fall, while acknowledging that a large decline may also signal deteriorating company fundamentals. The formula and Python example use three moving averages and compare the current low with the prior low; the example then sorts selected stocks by turnover ratio.

The article advises assessing financial stability, industry conditions, and policy influences alongside the technical filters. It supplies adjustable moving-average periods but no backtest, performance results, or evidence that the pattern predicts rebounds. There are also ambiguities in the implementation: the prose calls for simultaneous golden crosses, while the Python example checks ordered averages, and the decline calculation compares lows rather than clearly measuring the day's maximum fall. The range condition is also represented differently across the examples, so the definitions should be reconciled before use.

Key ideas

• The proposed screen combines a price-range condition, moving-average signals, and a decline between 4% and 5%.
• The rebound rationale is speculative, and a steep fall may reflect fundamental problems.
• The document recommends including financial stability, industry trends, and policy context.
• The examples differ in how they represent crossovers, range, and the daily decline, and no performance evidence is given.

Tags

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