Selecting Chinese Stocks by Daily Range and Five-Day Average

Summary

This post proposes a simple Chinese stock screening rule for 2021. It selects stocks whose daily high-to-low range exceeds one percent and whose closing price is above its five-day moving average. The stated rationale is that a larger range may identify more volatile candidates, while a close above the short moving average may indicate a healthier near-term trend. The document includes example formulas and a Python-style outline for calculating the moving average and filtering records.

The post cautions that high-range shares carry greater fluctuation risk and that a short-term moving-average condition says little about long-term direction. It suggests adding longer moving averages and fundamental measures, and emphasizes position and risk control. It provides no backtest results, benchmark, transaction-cost assumptions, or evidence that the screen has positive expected returns. The date restriction makes the rule a historical selection condition; it does not specify entry, exit, portfolio weighting, or how to handle survivorship and data quality.

Key ideas

• The screen combines a daily high-to-low range above one percent with a close above the five-day average.
• The post treats range as a rough indicator of volatility and the moving average as a short-term trend filter.
• It proposes longer-term averages and fundamental measures as possible additional filters.
• The document provides no performance evidence or complete portfolio and trading rules.
• It warns that high-range stocks can be risky and recommends controlling exposure.

Tags

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