Large-Cap Stock Screen Using Moving-Average Clustering and Recent Returns

Summary

This note describes a Chinese stock screen requiring at least five moving averages to cluster near one another, a tradable market capitalization above 10 billion yuan, and a positive 10-day return below 35%. It names the 5-, 10-, 20-, 30-, and 60-day averages as an example set. The article interprets clustered averages as a relatively stable trend and uses market capitalization as a rough liquidity filter, while the return band excludes recent losses and sharp short-term gains.

The document provides a rule rationale but no measured evidence, backtest, or precise definition of how close the averages must be to count as clustered. It acknowledges market and price volatility as risks. Its proposed optimization is to use more averages and broaden the number of qualifying stocks, but it does not test whether these changes help. The thresholds and interpretations should therefore be treated as screening choices, not demonstrated safeguards against losses.

Key ideas

• The screen looks for at least five clustered moving averages, using 5-, 10-, 20-, 30-, and 60-day examples.
• It requires tradable market capitalization above 10 billion yuan.
• It selects stocks with a positive 10-day return below 35%.
• The article gives no precise tolerance for average clustering and reports no backtest.
• It notes market volatility and price swings as risks.

Tags

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