Screening Stocks by Volatility, Moving-Average Cross, and Recent Strength

Summary

This post describes a Chinese equity screening rule that combines daily price amplitude, a short moving-average condition, and recent price strength. The final rule looks for stocks with amplitude above 1, a close crossing above a five-day average, and a gain threshold over a 25-trading-day lookback. The accompanying code sketches how to retrieve historical prices, calculate the moving average and lookback change, and filter a stock list.

There is a material mismatch in the description: the prose says to find a single daily gain of at least 10% within the prior 25 sessions, while the formula and code test whether the cumulative 25-session price change exceeds 10%. The post supplies no backtest results or evidence that the screen predicts returns. It notes that technical and recent-activity signals omit company and industry fundamentals, and suggests adding broader factors when assessing candidates.

Key ideas

• The screen combines price amplitude, a close above a short moving average, and recent price strength.
• The implementation uses a five-session moving average and a 25-session return calculation.
• The prose describes a single large daily gain, but the formula checks cumulative return over the lookback period.
• The post gives no performance tests and cautions that the rule omits fundamental and industry analysis.

Tags

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