Screening Stocks by Price Range, Moving Average, and Control Index

Summary

This Chinese stock-screening note describes a technical filter using daily price range, a short moving average, and a control index. The stated conditions are amplitude above 1, the closing price crossing above a five-day moving average, and a control reading above 21. It also gives formula and Python examples for applying the screen.

The note presents amplitude as a volatility measure, the moving average as a trend signal, and the control index as an indication of where the close sits within the day's range. It argues that combining them may help filter candidates, but provides no backtest, performance data, or validation of that claim. The document itself contains a discrepancy: its title refers to upward-diverging moving averages, while the final rule specifies a close crossing above a five-day average. It cautions that the screen omits market, industry, and macroeconomic conditions and suggests adding fundamental and broader market factors.

Key ideas

• The screen requires daily amplitude above 1 and a close crossing above the five-day moving average.
• It also requires a control index above 21, calculated from the close's position within the day's high-low range.
• The note frames the three filters as measures of volatility, trend, and trading control.
• It provides no performance evidence and warns that the technical filters omit broader market and company factors.

Tags

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