Screening Chinese Stocks with a Weekly MA Cross and Large-Order Flows

Summary

This document describes a Chinese equity screen combining three conditions: price amplitude above 1, a weekly five-period moving average crossing above the ten-period average, and large-order net volume above 0.05 for at least three consecutive days. It presents the combination as a way to pair technical trend signals with a measure of buying pressure. Formula and Python examples are included, although the implementation details do not fully match the stated weekly moving-average rule or consistently define the thresholds.

The article offers a rationale for each filter but gives no backtest, performance figures, or evidence that the signals predict returns. It cautions that adding factors can reduce screening accuracy, high-amplitude stocks may carry greater risk, and a short-lived surge in large-order activity may not persist. It suggests adding other market or fundamental measures and adapting the screen to conditions, but does not specify a validation method. Treat the criteria as a screening hypothesis, not a demonstrated strategy.

Key ideas

• The screen combines price amplitude, a weekly moving-average crossover, and sustained positive large-order net volume.
• The stated approach uses technical and flow measures to identify stocks with both an upward trend signal and buying pressure.
• The example implementation does not consistently reproduce the stated weekly moving-average condition.
• The document provides no performance test, and it warns that high volatility and temporary flows can undermine the screen.

Tags

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