Screening Chinese Stocks with Weekly Moving Averages and Opening Gains

Summary

The document presents a Chinese equity screen using daily price amplitude, a weekly five-period moving average crossing above a ten-period average, and a cap on the stock's gain at the opening auction. The moving-average condition is intended to identify an upward trend, while the opening-gain limit is meant to filter out stocks with sharp premarket moves. It also gives formulas for moving averages, percentage change, and amplitude, plus a sample implementation based on historical price data.

The article offers no backtest, return series, or comparison that would show whether these conditions improve results. Its explanation warns that the rule omits broader market conditions and company fundamentals, and that the opening-gain cap could screen out stocks with attractive prospects. There is also a mismatch between the stated weekly crossover and the sample code, which calculates rolling averages over daily observations and checks whether one is currently above the other rather than identifying a crossover event. Industry and fundamental filters are suggested as possible additions, but their value is not evaluated.

Key ideas

• The screen combines price amplitude, a short-over-long moving-average condition, and an opening-gain ceiling.
• The article describes the moving-average signal as weekly, but its sample code uses daily observations.
• The code checks the current ordering of the averages rather than a crossover event.
• No performance evidence is supplied for the selection rule.
• The author flags missing market and company fundamentals as limitations.

Tags

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