A Share Screen for Volatility, Sharp Declines, and Moving Average Trends

Summary

This note describes a Chinese equity screen combining daily price movement with a moving average trend filter. Its stated rules select stocks with an amplitude above 1, a daily maximum decline between 4% and 5%, and a 20-day moving average above the 120-day average. The accompanying examples show an indicator formula and a Python outline for calculating price ranges, percentage change, and moving averages.

The post frames the screen as a way to assess price volatility and trend, while acknowledging that it omits company fundamentals, industry characteristics, and liquidity. It also notes possible exposure to changing market conditions. There is a material inconsistency: the sample formulas do not clearly implement all the stated conditions, and the Python comparison of the high and low prices uses a ratio threshold of 1 rather than the stated amplitude measure. No backtest results or evidence of profitability are provided, so the rules are best understood as a screening proposal rather than a validated strategy.

Key ideas

• The stated screen combines a daily amplitude threshold with a decline range and a moving average trend condition.
• The post provides formula and Python examples, but their implementation does not fully match the prose rules.
• The screen omits fundamental, industry, and liquidity considerations.
• The document gives no backtest evidence to establish the screen’s performance.

Tags

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