A Chinese Stock Screen Using Amplitude, Control, and the Ten-Day Average

Summary

This proposed Chinese equity screen looks for stocks with daily amplitude above a threshold, signs of main-fund control on the prior day, and an opening price near the ten-day moving average. The stated rationale is to find active stocks whose opening prices remain near a short-term reference level, with the prior-day control measure intended to represent capital flows. A code example adds filters involving positive daily change, closing price near or above the ten-day average, and market capitalization ranking.

The article gives no backtest, return series, or benchmark comparison to support the screen. It warns that a moving average can misclassify price conditions, that short-term speculation may dominate, and that the simple rules omit company fundamentals and valuation. The prose description and code are not perfectly aligned: for example, the code uses closing-price conditions as well as an opening-price range. The screen is therefore best understood as a rough candidate-selection recipe, not a validated strategy; portfolio construction and risk controls would need separate design.

Key ideas

• The screen combines daily amplitude, a prior-day control measure, and an opening price near the ten-day moving average.
• The article interprets higher amplitude as a sign of greater market activity.
• Its example code adds price-change, closing-price, and market-capitalization filters.
• The article provides no performance evidence and identifies risks from technical misclassification and speculation.
• The written rules and sample code do not match exactly.

Tags

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