Equity Screening with Moving-Average Trend and Price-Range Filters

Summary

This Chinese equity screening proposal combines three conditions: a 20-day moving average above the 120-day average, an amplitude threshold, and exclusion of stocks that hit the upper price limit on the prior day. It presents the moving-average relationship as a way to identify a shorter-term trend above the longer-term trend, while the amplitude filter seeks stocks with price movement. The post also includes an example implementation outline and suggests sorting candidates by market capitalization before applying additional price checks and placing orders.

The author cautions that these technical filters omit fundamental information, can select stocks caught in false moves, and may rely too heavily on historical behavior. Suggested refinements include adding fundamental and technical measures, tuning parameters, and applying risk controls. The document does not report a systematic backtest, transaction costs, or risk-adjusted results, and parts of its prose, formula, and code do not clearly implement the same conditions. Treat it as a screening sketch, not validated evidence of profitability.

Key ideas

• The screen selects equities whose 20-day moving average is above their 120-day moving average.
• It adds a price-amplitude threshold and excludes stocks that reached the upper daily limit on the prior session.
• The post proposes adding fundamental measures and further technical filters to assess candidates.
• It warns that moving-average screens can produce false signals and may be overly dependent on historical data.
• The supplied material does not establish profitability through a documented backtest.

Tags

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