Screening Chinese A-Shares for Large Ranges and Converging Moving Averages

Summary

This document outlines a Chinese A-share screening rule that selects stocks with a daily high-low range above one percent, excludes Beijing-listed shares, and requires five moving averages to coincide. It gives example indicator and pandas-style implementations, then ranks qualifying names by circulating market value. The moving-average periods specified are 5, 10, 20, 30, and 60 sessions.

The accompanying discussion suggests that range and moving-average alignment may help narrow candidates, but it offers no backtest, performance evidence, or precise definition of how close the averages must be to count as coincident. It also acknowledges that moving-average alignment may not imply low volatility, that regional exclusion can introduce bias, and that single events or omitted indicators and fundamentals may distort selection. The document recommends adding other technical and fundamental measures and setting risk controls, but does not develop or test those additions. Treat the screen as an example rule rather than a validated strategy.

Key ideas

• The screen requires a daily high-low range above one percent and excludes Beijing-listed stocks.
• It checks whether the 5-, 10-, 20-, 30-, and 60-session simple moving averages coincide.
• The example implementation ranks qualifying stocks by circulating market value.
• The document provides no performance test and notes that moving-average alignment does not establish a particular volatility profile.
• It identifies regional selection bias, event effects, and missing risk controls as limitations.

Tags

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