Screening Chinese Stocks by Price Range and Weekly Moving Average Crossover

Summary

This document describes a stock screening rule for shares whose codes begin with 60. It selects stocks with a daily high-low range greater than one percent of the previous close and a weekly five-period moving average crossing above the ten-period average. The stated rationale is to combine elevated price movement with a potentially improving trend, using a market-code prefix to limit the universe.

The post provides indicator-formula and Python examples for implementing the screen, but no backtest, return data, or evidence that the criteria predict future performance. It explicitly cautions that high amplitude does not imply favorable direction, that restricting the universe may omit other candidates, and that moving averages do not capture fundamentals. It suggests combining technical and fundamental measures and adding risk controls. The implementation detail also leaves questions about how weekly sampling, crossover timing, and repeated signals are handled in a live or historical evaluation.

Key ideas

• The screen requires a high-low range above one percent of the prior close.
• It restricts candidates to stock codes beginning with 60.
• A weekly five-period moving average crossing above the ten-period average supplies the trend condition.
• The post provides formula and Python examples but reports no performance testing.
• The author notes that volatility, code-based filtering, and moving averages each have important limitations.

Tags

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