Stock Screening with Three Moving Average Crossovers and a Turnover Filter

Summary

This Chinese stock selection note describes a short-term screen requiring amplitude above 1, three moving-average crossovers to occur together, and exclusion of stocks that hit the daily limit the previous day. The crossover sequence uses moving averages with progressively longer periods; the note also gives a screening formula and a sample implementation outline. It suggests that excluding prior limit-up stocks may reduce the influence of those unusually strong sessions when looking for other candidates.

The document offers no backtest, performance figures, or empirical evidence that the combined conditions predict profitable trades. It warns that weak market conditions may yield no selections and that a very short selection window can overfit. It suggests adding industry or valuation filters and setting portfolio size and holding duration, while noting that further analysis is needed. The example code and indicator references are illustrative and may require adaptation to the data and platform used.

Key ideas

• The screen combines an amplitude threshold with simultaneous crossovers among several moving averages.
• It excludes stocks that reached the daily price limit on the prior day.
• The note provides screening logic but no performance evidence or backtest.
• A narrow sample period may create overfitting, and poor market conditions may produce no candidates.
• Additional filters and explicit portfolio size and holding rules may help shape the selection process.

Tags

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