Screening Large-Capitalization Stocks for Converging Moving Averages

Summary

This document proposes screening stocks using five moving averages, with example periods of 5, 10, 20, 60, and 120 days, alongside a circulating market value above 10 billion yuan and data from 2021. It describes averaging the selected moving averages and identifying stocks when the averages converge. The accompanying code sketch calculates the five averages and a combined average, but its stated test for overlap does not clearly implement a convergence measure, so the operational definition is ambiguous.

The document offers no backtest results or evidence that the screen predicts returns. It notes that results can depend on the chosen number and periods of moving averages, that the market-value threshold may exclude otherwise attractive companies, and that other factors are omitted. It suggests adding indicators or adjusting windows for market conditions, but leaves those choices unspecified. This is best read as an incomplete technical screening concept rather than a validated strategy.

Key ideas

• The proposed screen uses five moving averages with example windows of 5, 10, 20, 60, and 120 days.
• It combines the moving-average condition with a circulating market value above 10 billion yuan.
• The sample is restricted to stock data from 2021.
• The document's code does not clearly define or test moving-average convergence.
• No performance evidence is provided, and the selection may change with the chosen windows.

Tags

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