Screening Chinese Stocks by Daily Range and Moving-Average Trend

Summary

This stock screen combines a price-range threshold, a geographic exclusion, and a moving-average trend filter. It removes Beijing-listed stocks, selects shares whose high-to-low range exceeds one percent, and seeks an upward short-term trend using moving averages. The post’s final formula compares the five-day average with the ten-day average; its accompanying prose describes the condition as price or average price being above the five-day average, so the precise trend rule is not fully consistent across the examples.

A Python example also applies positive price-to-earnings and price-to-book filters, illustrating one way to add basic valuation constraints. The document explains that a wide daily range may identify volatile opportunities and that moving averages are only a rough guide to direction. It provides no backtest or return evidence. The screen relies heavily on technical data, and volatile stocks are not necessarily attractive investments. The author recommends adding fundamentals and comparing moving averages across multiple periods.

Key ideas

• The screen excludes Beijing stocks and selects shares with a high-to-low range above one percent.
• Its formula compares five-day and ten-day moving averages to represent short-term direction.
• The Python example adds positive price-to-earnings and price-to-book conditions.
• The post cautions that volatility and moving averages alone do not establish investment quality or future performance.

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