A-Share Screen Using Price, Range, and Moving-Average Filters

Summary

This A-share stock screen combines three conditions: daily high-low amplitude above one percent, a closing price of 18.5 yuan, and the 20-day moving average above the 120-day moving average. The moving-average comparison is intended to select stocks with a stronger recent trend, while the price and range filters further narrow the candidate set. The document includes example selection logic and code references, but reports no backtest or measured returns.

The author notes that the screen omits company finances, industry prospects, and management quality, and that changing market conditions can affect results. The examples also appear inconsistent: the narrative says amplitude above one, while the formula expresses a one-percent threshold; code details do not cleanly implement the stated amplitude test. The screen is therefore best understood as a simple filter proposal rather than a validated long-term strategy.

Key ideas

• The proposed screen requires amplitude above one percent and a closing price of 18.5 yuan.
• It selects stocks whose 20-day moving average is above the 120-day moving average.
• The document offers no empirical performance evidence for the screen.
• The selection omits fundamental and industry analysis, and its examples contain implementation inconsistencies.

Tags

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