Screening Chinese A-Shares by Range and Rising 30-Day Average

Summary

This stock screen combines three conditions: daily high-to-low range greater than one percent of the prior close, a ticker beginning with 60, and a 30-day simple moving average that is higher than on the previous day. The document interprets the range as a sign of elevated volatility and the rising average as an upward trend filter. It includes indicator logic and example implementations for screening.

The article provides no backtest, transaction-cost analysis, or return evidence. It warns that a rising moving average can generate false signals and that high-range stocks carry greater risk. It also suggests adding technical and fundamental factors or using a multi-factor selection process, but does not specify or evaluate those additions. The screen is therefore a basic candidate filter rather than a demonstrated trading system.

Key ideas

• The screen requires a daily range above one percent of the previous close.
• It limits candidates to Chinese stock codes beginning with 60.
• It selects stocks whose 30-day simple moving average is rising.
• The article cautions that moving-average direction can give false signals and high volatility increases risk.
• No performance test or evidence of profitability is presented.

Tags

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