Stock Screening with Rising Lows, Expanding Moving Averages, and Range

Summary

This document describes a Chinese equity screening rule combining daily amplitude above a threshold, higher successive lows, and upward separation among short, medium, and longer moving averages. Its indicator example compares five-, ten-, and twenty-period averages, while the Python example checks recent lows and moving averages alongside a volatility proxy. It also suggests adding fundamental data and industry or sector strength to the screen.

The article gives implementation examples but no backtest results or evidence that the screen is profitable. It warns that relying heavily on technical indicators can lead to overfitting and that chasing price moves may increase turnover and transaction costs. The stated amplitude measure and the Python example's standard deviation check are not equivalent, so implementations may not select the same stocks. The author also recommends broader risk controls and market context, but does not specify how to test or combine those inputs.

Key ideas

• The screen combines a large price range with progressively higher lows and upward alignment of moving averages.
• Its indicator example uses five-, ten-, and twenty-period moving averages.
• The Python example checks recent lows and a price-variation proxy, which may differ from the stated amplitude condition.
• The article suggests adding fundamental and sector information to broaden the selection criteria.
• It cautions that technical-only rules can overfit and generate costly trading activity.

Tags

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