Screening Stocks with Moving Averages, Momentum, and Relative Volume
Summary
This post outlines a Chinese equity screening rule that ranks stocks by relative volume and selects the top 100, then filters for a positive but bounded return over ten days and a 20-day moving average above the 120-day average. The combination is intended to find stocks with elevated trading activity, recent gains, and a longer-term upward trend.
The author identifies limitations in the signals: relative volume alone does not establish net inflows, and short-term returns and moving averages can miss broader context or expose the screen to short-term volatility. Suggested refinements include considering turnover or flow balance and adding other trend indicators. The article provides a screening rationale, not evidence of backtested returns, and its proposed final rule is truncated, so the full refined specification cannot be recovered from the text.
Key ideas
- The screen ranks stocks by relative volume and retains the top 100.
- It requires a positive return over ten days that remains below the stated upper threshold.
- It uses the 20-day average above the 120-day average as a trend filter.
- The post warns that volume and price filters do not capture all risks or market context.
- It offers possible refinements but reports no test results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.