Screening Chinese Stocks by Range and Opening Price Near the 10-Day Average

Summary

This stock-selection rule screens for shares with a daily high-low range above one percent, then restricts the sample to 2021 and requires the opening price to be within two percent of the 10-day moving average of closing prices. The proposed interpretation is that a larger range identifies more volatile stocks, while an opening near the short-term average may indicate support. The document includes example indicator logic and Python-style filtering steps.

It offers no backtest, return data, or evidence that these conditions predict performance. The rationale for selecting 2021 is vague, and the description does not clarify how the rule would generalize beyond that historical period. The author notes that a short moving average and high volatility can create overfitting and risk, and suggests combining the screen with fundamental or other technical measures, stop losses, and diversification. The code examples also differ in their range denominator, so an implementation would need to settle the precise definition before evaluation.

Key ideas

• The screen requires a daily price range greater than one percent and data from 2021.
• It selects stocks opening within two percent of their 10-day closing-price average.
• The proposed rationale links a wide range to volatility and proximity to the average to possible support.
• The document gives no performance evidence and flags overfitting and volatility risk.
• The examples use different denominators for calculating the range, which can produce different selections.

Tags

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