A-Share Screen Using Moving-Average Trend and Opening Gain

Summary

This A-share stock screen combines intraday amplitude above 1, a 20-day moving average above the 120-day average, and a 9:25 gain below 6%. The moving-average relationship is presented as a trend filter, while the amplitude condition seeks stocks with room for trading activity and the opening-gain ceiling limits unusually strong early moves. The note suggests strengthening the screen with company fundamentals, broader market conditions, valuation measures, market capitalization constraints, and liquidity checks.

It includes sample indicator-formula and Python implementations, but does not provide a backtest, performance statistics, or a benchmark. The examples are illustrative and their calculations do not consistently match the stated screening logic, so they should not be treated as validated code. The author also cautions that the basic conditions may admit risky or very small stocks and omit fundamental information. The strategy is a screening proposal, not evidence of a profitable trading system.

Key ideas

• The screen combines amplitude above 1, a 20-day average above the 120-day average, and a 9:25 gain below 6%.
• The moving-average relationship is intended to identify an upward trend.
• The note recommends adding fundamental, valuation, market-capitalization, and liquidity filters.
• Sample formulas are provided, but no performance evidence validates the strategy.

Tags

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