A 2021 A-Share Screen for High Amplitude and Trend Resumption

Summary

This document presents a Chinese A-share screening rule combining daily price amplitude, a calendar filter, and a definition of an emerging upward trend. The amplitude condition requires the day’s high-low range, relative to the low, to exceed one percent; the date filter selects 2021. The trend condition requires longer moving averages to be stacked above shorter ones and the close to be above its level twenty sessions earlier. The post includes example formula and Python implementations, but no backtest results or evidence that the screen predicts future returns.

The author notes that high-amplitude shares can carry greater volatility, that the onset of a major advance is difficult to identify, and that the screen omits company and industry fundamentals. Suggested refinements include adding valuation and financial-growth measures and adapting criteria to market conditions. The rule defines candidates for an investment pool; the document does not specify position sizing, exits, transaction costs, or portfolio risk controls.

Key ideas

• The screen selects A-shares in 2021 whose daily high-low range exceeds one percent of the low.
• Its trend condition uses an ordered set of moving averages and a close above its level twenty sessions earlier.
• The post provides formula and Python examples but no test results or return evidence.
• High-amplitude stocks may have greater volatility, and the trend-onset condition can be difficult to judge.
• The proposed screen omits fundamental, portfolio, execution, and risk-management rules.

Tags

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