Screening Chinese Stocks with Range, Turnover, and Moving-Average Filters

Summary

The document outlines a Chinese-equity screening idea using three conditions: daily price amplitude above a threshold, high trading activity, and the 20-day moving average above the 120-day average. Its accompanying examples operationalize activity with trading amount and turnover, and calculate amplitude from the day’s high and low relative to the previous close. The longer-term moving-average condition is intended to favor stocks in an established upward trend, while the range and activity filters seek movement and liquidity.

The author notes that the screen relies only on technical and trading data and does not assess company fundamentals, so selected names may not have sound underlying value. The suggested improvement is to add fundamental evaluation and consider broader market conditions when adjusting parameters. The document gives no backtest, portfolio construction method, or performance evidence; the examples also use specific data sources and thresholds that may not match the headline wording exactly. The screen should therefore be treated as a basic candidate filter rather than a validated trading strategy.

Key ideas

• The screen combines a minimum daily price range, trading-activity filters, and a 20-day average above a 120-day average.
• The moving-average comparison is used to favor stocks with an upward trend.
• Trading amount and turnover are used as practical proxies for activity and liquidity.
• The author identifies the absence of fundamental analysis as a key limitation.
• No backtest results or evidence of profitability are provided.

Tags

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