High-Range Stock Screening with Relative Volume and Rising Averages

Summary

This note outlines a Chinese stock screen combining a daily high-to-low range of at least one percent, relative volume between 1.5 and 6 times its five-day average, and a short-term moving-average trend in which the five-day average is above the ten-day average. It describes the range as a volatility filter, the volume band as a way to find active but not unusually extreme trading, and the moving-average relationship as a short-term upward-trend filter. Formula and Python examples are included, but the document provides no backtest results or evidence of profitability.

The author cautions that technical filters alone omit company fundamentals and that the idea of moving averages diverging upward can depend on how the condition is defined. Additional suggestions include considering financial data, industry, company size, and alternative average periods. The examples are not fully consistent: the prose gives a bounded relative-volume rule, while the code includes an additional market-value condition and uses a different amplitude calculation. The examples also differ in how they express upward movement. These choices should be reconciled and tested before the screen is used.

Key ideas

• The screen combines a minimum daily price range with relative volume bounded between 1.5 and 6 times its five-day average.
• A five-day moving average above a ten-day average serves as the short-term trend filter.
• The document gives formula and Python examples but no backtest or performance evidence.
• The author warns that technical-only screening can ignore fundamentals and that moving-average divergence is not uniquely defined.
• The examples use inconsistent amplitude and market-value conditions that should be reconciled.

Tags

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