Screening Chinese Stocks for Converging Moving Averages

Summary

This note outlines a Chinese equity screen that looks for stocks whose short and medium term moving averages converge. Its revised criteria specify at least six averages—5, 10, 20, 30, 60, and 120 days—along with total capitalization above 200 million and free float capitalization above 1 billion. The selection period is described as 2021 onward. The rationale is that aligned averages may indicate a stable price trend, while capitalization filters aim to retain stocks with some trading liquidity.

The note warns that tightly grouped averages can signal limited price movement and weak return potential, and that larger stocks may still respond to capital flows. It suggests adjusting the number of averages, considering smaller capitalization stocks, and combining the screen with other factors. No backtest results or performance evidence are supplied. The accompanying code is incomplete, and the dates and capitalization conditions vary between the initial description and the final criteria, so the method is not fully specified for reproducible use.

Key ideas

• The proposed screen selects stocks with at least six converging moving averages.
• The final criteria include capitalization and free float capitalization thresholds.
• Moving average convergence is presented as a sign of aligned short and medium term trends.
• The note cautions that stable prices may offer limited return potential.
• The example code is incomplete, and the criteria are not entirely consistent across the document.

Tags

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