Screening Chinese Stocks by Daily Range and Five-Day Average
Summary
The proposed stock screen looks for daily price amplitude above 1%, a stock price or average above its five-day moving average, and excludes stocks based in Beijing. The document presents the range as a way to identify active price movement and the moving-average condition as a possible sign of an upward trend. It also includes sample Python-style steps for retrieving stock and historical price data and calculating these filters.
No backtest, return data, or evidence that the conditions produce profitable trades is supplied. The article notes that the screen omits fundamental valuation and business measures and recommends considering broader information, policy and industry conditions, plus position limits and stop levels. Its sample code is illustrative and may not implement the stated conditions consistently: the filtering expression compares the moving average with a lagged close, so it should be checked before use. The screening rules alone do not specify entry timing, exits, or portfolio construction.
Key ideas
- The screen selects stocks with daily amplitude above 1% and a price condition relative to the five-day moving average.\nIt excludes stocks assigned to Beijing.\nThe document offers sample code but no backtest or evidence of returns.\nIt recommends considering fundamentals, industry and policy factors, and risk controls.\nThe sample filter should be checked because its moving-average comparison may differ from the stated rule.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.