Selecting Chinese Stocks by Daily Range and a Long-Term Moving Average

Summary

The document describes an equity screen that excludes Beijing-listed stocks, selects stocks with a daily high-to-low range above one percent, and requires the previous close to exceed a 250-day moving average. It interprets the range as a sign of elevated price movement and the moving-average condition as evidence of an upward trend. Formula and Python examples illustrate how the screen could be expressed, with sample code also adding positive price-to-earnings and price-to-book filters.

The article gives no backtest, performance figures, or evidence that the screen predicts returns. It warns that a large range does not establish investment quality, technical signals can overlook fundamentals, and a fixed moving-average period may not suit every stock. It suggests combining technical conditions with fundamental measures and adapting the average to the price behavior, but does not demonstrate whether those changes improve results. The geographic exclusion language is inconsistent in places, so the intended universe should be checked before implementation.

Key ideas

• The screen excludes Beijing stocks and requires a daily high-to-low range above one percent.
• It selects stocks whose previous closing price is above a 250-day moving average.
• The sample Python logic also screens for positive price-to-earnings and price-to-book values.
• The article cautions that high price movement and moving-average signals do not establish fundamental quality.
• No backtest or evidence of trading performance is provided.

Tags

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