Moving-Average Convergence with a Short-Term Trend Filter

Summary

This A-share screening concept selects stocks with at least five moving averages converging, scale above 200 million, and a 20-day moving average above the 120-day average. The note interprets convergence as a period of price compression or stability and the short-over-long moving-average relationship as a positive trend condition.

It warns that requiring convergence may delay detection of abrupt price changes, while the upward trend filter may fail to capture reversals. The suggested extensions include adding other moving-average periods and fundamental filters such as market capitalization or valuation. The document offers only a partial code reference and provides no backtest results or precise definition for how much overlap qualifies as convergence. Its rules should therefore be treated as a screen concept rather than a fully specified trading system.

Key ideas

• Require at least five moving averages to converge and set a minimum scale threshold.
• Use the 20-day average being above the 120-day average as a trend filter.
• The author associates moving-average convergence with price stability or compression.
• The screen may react slowly to sudden moves and may miss trend reversals.
• The note proposes adding moving-average periods and fundamental filters but reports no test results.

Tags

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