Screening for Sharp Intraday Declines Above the Five-Day Moving Average

Summary

This Chinese equity screening note combines three conditions: daily amplitude above 1%, a maximum intraday decline between 4% and 5%, and the stock’s average price above its five-day moving average. It presents the range and decline as measures of market movement and volatility, while the moving-average condition is intended to identify stocks holding above a short-term trend reference. The note also suggests adding indicators such as DMI, KDJ, or MACD, or tightening the selection conditions.

A sample implementation checks daily high-low movement, the day’s low relative to the previous close, and the five-day moving average. It also applies extra filters for names, market value, and valuation that are not part of the core rule. No backtest results or performance evidence are given. The selection criteria are simple and may generate false signals or behave differently as market conditions change; the sample code’s approximations should also be checked against the exact intended definitions of amplitude and maximum decline.

Key ideas

• The screen combines amplitude above 1%, a maximum decline between 4% and 5%, and average price above the five-day moving average.
• The moving-average condition is intended to filter for stocks above a short-term trend reference.
• The document suggests combining the screen with additional technical indicators.
• The sample code includes extra filters beyond the core selection conditions.
• No performance evidence is supplied, and the rules may produce false signals.

Tags

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