A Chinese Stock Screen Using a Rising 30-Day Average and Liquidity Filters

Summary

This document describes a China A-share screening rule that selects stocks with daily amplitude above 1, circulating market value above 10 billion yuan, and a rising 30-day moving average. The author presents amplitude as a proxy for trading activity, market value as a size filter, and the moving average direction as a trend signal. A formula reference expresses these three conditions as a combined screen.

The article warns that the screen leaves out company fundamentals and industry conditions, and that short-term trends can be distorted by market sentiment. It suggests adding valuation, profitability, and other technical indicators for a broader assessment. The included Python example is not fully consistent with the stated screen: it checks price relative to the moving average and its direction, but does not implement the amplitude or market-value filters. No backtest results or evidence of returns are provided.

Key ideas

• The screen requires amplitude above 1, circulating market value above 10 billion yuan, and a rising 30-day moving average.
• Amplitude and market value serve as activity and company-size filters, while the moving average provides a trend condition.
• The article notes that the screen omits fundamental and industry information and may be vulnerable to sentiment-driven false trends.
• Its Python example does not implement all of the stated screening conditions.

Tags

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