Screening Chinese Stocks by Weekly MA Cross and a Sharp Daily Decline

Summary

This stock-selection rule combines three filters: daily amplitude above 1%, a weekly five-period moving average crossing above the ten-period average, and a session low-to-previous-close decline between 4% and 5%. It is presented as a way to find Chinese shares with a positive weekly moving-average signal that have also experienced a sharp intraday drop. The post includes formulas and a Python example that loops through listed stocks and calculates daily amplitude, moving averages, and the latest decline.

The accompanying discussion identifies the fixed thresholds and the short-term decline condition as limitations, noting that they may not adapt to changing market conditions or reflect company fundamentals. It suggests adding other market measures and adjusting criteria dynamically. The post provides no backtest, return, or risk evidence. Its written condition specifies a weekly crossover, while the sample code calculates rolling averages from daily closes, so the implementation may not match the stated rule without further adaptation.

Key ideas

• The screen seeks stocks with daily amplitude above 1%, a weekly five-period average crossing above the ten-period average, and a daily decline between 4% and 5% at the low.
• The post describes the moving-average relationship as a technical filter and the sharp decline as a current-market condition.
• Its example code calculates rolling averages from daily closing prices, which may not implement the stated weekly crossover.
• The author warns that fixed thresholds and a single day's decline may not adapt to changing conditions or represent company fundamentals.
• No performance testing or empirical evidence is supplied.

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