Screening Stocks by Rising Moving Averages, Range, and Concentration

Summary

This document presents a Chinese stock-selection screen using price amplitude, a concentration-related measure, and moving-average direction. Its initial description calls for amplitude above 1%, a concentration condition, and an upward 30-day average. A later, revised formulation sets amplitude between 1% and 10%, concentration between 50% and 100%, and compares the 30-day average with the 60-day average. It also suggests adding fundamental factors and a recent-price condition, with sample formula and data-fetching logic as illustrations.

The article provides no backtest results or evidence that these filters produce returns. Its definitions shift across sections, and the sample fundamental factor is left unspecified, so implementation would require clarifying the measures and resolving the conflicting conditions. The author notes that trends may reverse and that a screen based heavily on technical inputs may not adapt across market regimes. It suggests longer price history and valuation measures, but does not test these additions or specify portfolio and risk rules.

Key ideas

• The initial screen combines amplitude above 1%, a concentration measure, and a rising 30-day average.
• A revised version narrows amplitude to 1%–10%, sets concentration at 50%–100%, and compares 30-day with 60-day averages.
• The document suggests adding fundamental factors and a recent-price filter, but leaves some inputs undefined.
• No performance evidence is provided, and the stated criteria differ between sections.

Tags

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