Stock Screening with Daily Range, Five-Day Average, and Position Growth

Summary

This Chinese equity screening note selects stocks whose daily range exceeds 1%, whose price is above its five-day moving average, and whose stated daily position-growth measure exceeds 5%. The proposed interpretation is that a larger range identifies active price movement, trading above the short moving average suggests near-term support, and increased positioning may reflect participation by larger investors. Formula and Python examples are included to illustrate the filter.

The note cautions that high-range stocks can carry greater risk, positioning data may be associated with manipulation, and a price above a short moving average does not establish a durable recovery. It suggests adding price-volume and capital-flow measures alongside other risk controls. The examples do not establish strategy performance, and the implementation snippets use volume change as a proxy for the position-growth condition, which may not be equivalent to the stated measure.

Key ideas

• The proposed screen requires a daily range above 1%, price above the five-day moving average, and position growth above 5%.
• The rationale combines short-term price activity, a moving-average condition, and a participation signal.
• The note warns that large daily ranges increase risk and that moving-average placement can be temporary.
• It recommends combining the filter with other price-volume, flow, and risk measures.
• No empirical performance evidence is presented.

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