Screening Chinese Stocks by Range, Turnover, and a Rising 30-Day Average

Summary

The document describes a Chinese stock screen that selects shares with a daily high-low range above 1%, turnover between 2% and 9%, and a 30-day moving average that is rising versus the prior day. It presents these conditions as a technical filter intended to combine price movement, trading activity, and a longer-term directional check. An indicator formula and Python example illustrate the intended screening process.

The article cautions that moving averages lag and that the technical rules may miss advances or experience deeper drawdowns during volatile markets. It suggests adding volume, money flow, RSI, and measures of moving-average slope, as well as considering fundamentals and risk controls. It offers no backtest, returns, or evidence that the screen predicts future performance. The sample code has implementation limitations and should not be treated as a validated reproduction of all stated conditions.

Key ideas

• The screen requires daily amplitude above 1%, turnover above 2% and below 9%, and an upward 30-day moving average.
• The rules combine price range, trading activity, and a trend filter.
• The article identifies lag and volatility-related drawdowns as risks.
• It proposes additional indicators, fundamental checks, and risk management, without presenting performance evidence.

Tags

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