A Moving-Average and Amplitude Screen Excluding Prior Limit-Up Stocks

Summary

This Chinese equity screen selects stocks whose daily amplitude exceeds a threshold, whose close is above a five-session moving average and the previous close, and which did not hit the upper price limit on the prior day. The article frames amplitude as a short-term volatility measure, the moving-average condition as a trend filter, and exclusion of prior limit-up stocks as a way to avoid names that may have become overheated.

The post warns that the approach relies heavily on technical signals and historical prices, so it may overlook fundamentals or fail when market conditions change. It suggests combining technical and fundamental analysis, considering trading volume, and adding exit and risk controls. The supplied code is illustrative and contains implementation ambiguities, including how it identifies prior limit-up events. No backtest results or evidence of profitability are reported.

Key ideas

• The screen combines a minimum daily amplitude with a short-term moving-average trend condition.
• It excludes stocks that reached the upper price limit on the previous day.
• The post cautions that technical-only selection can miss fundamental and changing-market risks.
• Volume analysis and explicit risk controls are proposed as possible refinements.
• No performance evidence is supplied, and the sample implementation leaves details uncertain.

Tags

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