A-Share Screen for Small Profitable Firms and Moving-Average Clustering
Summary
This note describes a screen for stocks with daily amplitude above 1%, at least five overlapping moving averages, market capitalization below 10 billion yuan, and no losses. It presents the combination as a way to mix a technical condition with a basic profitability and size filter. The suggested refinement broadens the fundamental review to revenue growth, profitability, valuation, and dividend yield, while also considering volume, other technical indicators, market conditions, and dynamic stop losses.
The article cautions that a no-loss requirement may exclude growing companies with temporary losses and that short-term financial data and technical signals can miss industry position and longer-term fundamentals. It supplies formula and Python examples but no backtest or performance evidence. The code excerpt appears inconsistent with the stated requirement of five moving averages: it constructs only three averages and then compares their unique values with five. The method therefore needs clarification and validation before it can be reproduced faithfully.
Key ideas
- The proposed screen combines amplitude above 1%, moving-average overlap, a market-cap ceiling, and positive earnings status.
- The note recommends incorporating revenue growth and broader fundamental and technical context.
- A strict profitability filter may remove firms experiencing temporary losses during growth phases.
- Market conditions, industry standing, and longer-term fundamentals can affect the screen's usefulness.
- The example code does not implement five moving averages as described, and no backtest results are supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.