Selecting Chinese A-Shares by Range and a Ten-Day Average
Summary
The screen selects stocks whose daily high-low range exceeds one percent, excludes Beijing-listed A-shares, and requires the opening price to lie above the ten-day moving average of closing prices but below 110% of that average. The article presents the conditions in both a formula reference and a Python-style example, and describes choosing among qualifying stocks by market capitalization up to a specified holding count.
The accompanying discussion flags that the rules consider only a narrow set of factors: the opening price relative to an average may miss the broader trend, a geographic exclusion may be arbitrary, and volatility alone leaves out other market conditions. It suggests adding trend or candlestick measures, valuation and industry context, and testing parameter choices. No historical test, performance results, or evidence that the proposed refinements improve returns is supplied, so this is a screening concept rather than a validated strategy.
Key ideas
- The screen requires a daily high-low range above one percent and excludes Beijing A-shares.
- It compares the opening price with the ten-day average of closing prices, allowing a range from the average to ten percent above it.
- The example ranks qualifying stocks by market capitalization for selection up to a holding limit.
- The article notes that these conditions omit broader trend, regional risk beyond the chosen exclusion, and other market factors.
- It recommends testing parameter choices and considering additional technical, valuation, and industry information, without presenting validation results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.