Mainland China Stock Screen Using Volatility, the 10-Day Average, and Daily Gains

Summary

This document describes a daily screen for mainland Chinese main-board stocks. It selects shares with a price range exceeding one percent, an opening price within five percent of the 10-day moving average, and a daily gain above one percent. The examples rank qualifying stocks by trading volume. The proposed rationale is that recent movement and a positive session may identify active stocks, while proximity to the moving average may indicate a pullback or consolidation.

The document provides indicator and Python examples for combining the conditions, but no historical test, benchmark, or performance evidence. It cautions that the screen may miss company fundamentals and longer-term trends, and that a simple market-board filter can exclude other opportunities. It recommends adding fundamental checks and controls on position size and losses. The selection rules are presented as a starting point; the text does not specify portfolio construction, execution assumptions, or validation procedures.

Key ideas

• The screen combines recent price range, opening price relative to a 10-day average, and daily price appreciation.
• It restricts candidates to main-board shares and suggests sorting qualifying names by trading volume.
• The document gives code examples but reports no backtest or performance results.
• It recommends adding fundamental analysis and controls for position size and losses.
• The rules focus on short-term price behavior and may overlook longer-term trends.

Tags

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