Screening Chinese Stocks by Volatility, Moving Average, and Positive Earnings

Summary

The proposed Chinese equity screen selects stocks whose daily high-low range exceeds a threshold, whose closing price is above its five-day moving average, and whose price-to-earnings ratio is positive. The criteria combine recent price movement, short-term direction, and a basic profitability filter. The article also sketches implementations using a stock data service and a market query, though these examples are not a complete, validated trading system.

The author presents the screen as a starting point and notes risks including weak growth prospects, unreliable reported results, and price moves driven by institutional activity. Suggested refinements include reviewing company fundamentals, market conditions, and industry trends, and adding dividend yield and share structure. It also recommends limiting the number of selected stocks and controlling position sizes. No backtest or return evidence is supplied, and the article's example code has inconsistencies in data alignment and in how amplitude thresholds are expressed, so its results would need careful verification before use.

Key ideas

• The screen combines a high-low price range filter, a close above the five-day moving average, and positive earnings valuation.
• The moving-average condition is intended to identify stocks with short-term upward price direction.
• The article warns that the screen can miss growth prospects and may include companies with unreliable results or distorted price moves.
• It suggests adding fundamental, industry, dividend, and share-structure analysis.
• Position limits and other risk controls are recommended, but no performance testing is presented.

Tags

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