Screening Chinese Stocks with Volatility and a Weekly Moving Average Cross

Summary

This stock screen combines a daily amplitude threshold, a 2021 date filter, and a weekly crossover of the five-period moving average above the ten-period average. The author presents the crossover as a sign of improving short-term direction, while the amplitude condition selects shares with meaningful price movement. The stated output is a candidate pool for further consideration rather than a complete entry and exit system.

The document gives sample formula and Python logic, but the examples have limitations: the Python section appears to calculate moving averages on daily observations despite describing them as weekly, and its final condition checks for a crossover event rather than simply a sustained bullish relationship. No backtest, returns, benchmark, or transaction-cost analysis is reported. The accompanying discussion cautions that a short-term cross can fail in choppy markets and may omit the longer-term trend; it suggests adding valuation and volatility measures, without testing those additions.

Key ideas

• The screen selects stocks with price amplitude above one percent during 2021.
• It looks for the five-period moving average crossing above the ten-period average on weekly data.
• A moving average cross can signal improving short-term direction but can produce false signals in choppy markets.
• The code examples do not establish that the screen has been backtested or is profitable.

Tags

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