A-Share Screen for Profitable Small Caps Above the Five-Day Average

Summary

This A-share screening method combines four conditions: daily high-low amplitude of at least 1%, market capitalization no greater than 10 billion yuan, positive net profit, and a closing price at or above its five-day moving average. The document frames amplitude as a way to find active stocks, the size cap as a small-company filter, profitability as a basic quality check, and the moving average as a simple price-trend condition. It also gives example implementations in a screening formula and Python, but reports no historical test, returns, or comparison with a benchmark.

The author warns that emphasizing short-term volatility can obscure longer-term changes, and that a single technical indicator may not capture investment value. Moving-average choice also affects which stocks qualify. Suggested refinements include adding volume or candlestick conditions, evaluating the filters on historical data, and comparing other moving-average periods. These remain proposals rather than validated improvements; the screen alone does not establish that selected stocks are undervalued or likely to grow.

Key ideas

• The screen requires amplitude of at least 1%, market capitalization up to 10 billion yuan, positive net profit, and price above the five-day average.
• Amplitude can identify active stocks but may overemphasize short-term price movement.
• A moving-average filter is a lagging trend condition whose period affects the eligible stock set.
• The document offers no backtest or evidence that the combined conditions produce superior returns.

Tags

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