A Chinese A-Share Screen Using Volatility, a Five-Day Average, and Prior Limits

Summary

This stock-selection rule screens for shares with amplitude above 1, a stock price average above its five-day moving average, and no limit-up close on the previous day. The post frames the conditions as a combination of volatility and short-term technical strength, while excluding stocks that may invite chasing after a sharp rise. It recommends checking company fundamentals and market liquidity alongside the screen, and managing risk and position size.

The article includes indicator references and sample selection code, but the code appears inconsistent with the stated rule: it uses turnover ratio rather than amplitude, compares the moving average against price in the opposite direction, and has undefined or mismatched variables. No backtest results or performance evidence are provided. The rule is therefore best understood as a basic screening idea; the document does not establish that it predicts returns or improves safety.

Key ideas

• The screen combines amplitude above 1 with price above its five-day moving average.
• It excludes stocks that reached the daily limit-up level on the prior day.
• The article warns that recent strength can reverse and recommends considering fundamentals and market conditions.
• The sample code does not faithfully implement the stated conditions and supplies no performance evidence.

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