Screening Chinese Stocks by Range, Relative Volume, and Moving Averages

Summary

This post describes a Chinese equity screening rule combining daily price range, relative trading volume, and a moving average trend filter. It selects stocks with a range of at least 1%, volume between 1.5 and 6 times its five-day average, and a 20-day moving average above the 120-day average. The post interprets these conditions as seeking active, higher-volatility stocks within a longer-term uptrend, potentially suited to swing trading.

It also identifies limitations: the screen omits company fundamentals, relies on recent market data, and does not constrain share price. Suggested refinements include adding profitability and growth measures, other technical indicators, and a price band. The document provides formula and Python examples, but it reports no backtest results or performance evidence. The code example has apparent inconsistencies with the stated screen, including a reversed range condition and operations that may not work as written on a single row; implementation should be checked before use.

Key ideas

• The screen combines a minimum daily range with a bounded ratio of current volume to its five-day average.
• A 20-day average above the 120-day average acts as a longer-term trend filter.
• The post proposes adding fundamental measures and a price range to address omissions in the screen.
• No performance results are provided, and the supplied Python example may not faithfully implement the stated conditions.

Tags

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