A Moving-Average Trend Filter with Amplitude and Limit-Up Conditions

Summary

This Chinese stock-selection proposal combines daily price amplitude greater than 1, a condition that the stock did not reach the upper daily price limit yesterday, and a 20-day moving average above the 120-day moving average. The moving-average relationship serves as a trend filter, while amplitude adds a measure of recent price movement. The article supplies formulas for the two averages and sample selection code. It does not provide a backtest, performance results, or details establishing how amplitude and the prior limit-up condition are calculated in the code.

The author says the combination may help identify stocks with short- or medium-term strength, while warning that in sideways or falling markets it may still select stocks in pronounced declines. The suggested improvements are to incorporate additional technical measures, company financial information, and industry or market context. The provided code only checks the moving-average comparison, so it does not implement every condition in the written screen; this limits its value as a direct reproduction of the stated strategy.

Key ideas

• The proposed screen requires amplitude above 1 and no upper-limit close on the prior day.
• It uses the 20-day average above the 120-day average as a trend filter.
• The article provides moving-average formulas and sample code, but the code omits some stated filters.
• The author cautions that the screen may select declining stocks in weak or sideways markets.
• Additional technical, financial, and industry information is suggested for further filtering.

Tags

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