A-Share Screen Using Amplitude, Shareholder Control, and the 30-Day Average

Summary

This document outlines a Chinese stock selection rule combining daily amplitude above 1%, a daily controlling-shareholder measure above 21 in absolute value, and a closing price above its 30-day moving average. It presents the moving average as a way to assess intermediate trend direction and supplies sample indicator and Python implementations. The final proposed version also calls for favorable financial data and industry conditions.

The article provides no historical test, measured returns, or evidence that the filters improve selection accuracy. It notes that technical signals can miss cyclical influences and fundamental information, and suggests supplementing them with valuation and profitability measures, additional indicators, market-cap criteria, and parameter analysis. These are possible extensions, not validated improvements; the controlling-shareholder metric and its interpretation are not explained in detail.

Key ideas

• The proposed screen combines amplitude above 1%, a controlling-shareholder measure above 21 in absolute value, and price above the 30-day average.
• The 30-day average is used as a trend filter.
• The final suggested screen adds favorable financial and industry conditions.
• The document cautions that technical filters can omit fundamentals and cyclical effects.
• No backtest or performance evidence is supplied, and the shareholder-control measure is not clearly defined.

Tags

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