A-Share Screen for High Amplitude and Five Moving-Average Alignments

Summary

The document proposes screening Chinese stocks for daily amplitude above 1%, observations dated in 2021, and alignment among five moving averages based on 5, 10, 20, 30, and 60 periods. It interprets higher amplitude as greater volatility and moving-average convergence as a possible indication of a trend. Formula and Python examples are included, but they encode different tests: the formula equates moving averages of highs and lows, while the Python example compares each close-based moving average with the closing price.

The screen is not supported by reported backtest results, and the 2021 date restriction makes it a historical filter rather than a clearly current selection rule. The document notes that moving averages lag and can generate inaccurate signals, and that financial or other company information may affect prices. It recommends considering market conditions, other indicators, and fundamentals, without defining or testing a combined method. The mismatch between the stated convergence idea and the example implementations limits reproducibility.

Key ideas

• The proposed screen combines amplitude above 1%, a 2021 date filter, and five moving-average conditions.
• The specified averages use periods of 5, 10, 20, 30, and 60 observations.
• The formula and Python examples define their moving-average conditions differently.
• The document warns that moving averages lag and that company fundamentals are not included.
• No backtest results are provided, and the date filter makes the screen historical.

Tags

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