A-Share Screen Using Volatility, Profitability, Size, and Weekly Moving Averages

Summary

The article proposes screening A-shares for daily amplitude of at least 1%, market capitalization under 10 billion yuan, positive net profit, and a weekly five-period moving average crossing above the ten-period average. It presents formula and Python examples, with the latter also excluding certain listing categories and names containing a special-treatment marker. The intended combination is a small-company and profitability filter paired with a volatility condition and a short-term trend signal.

The author cautions that high volatility can bring substantial risk, recent gains may reverse, and moving averages omit other relevant information. Suggested improvements include evaluating valuation, financial health, fund flows, longer-term trends, stop levels, selection frequency, and position size. No backtest, benchmark comparison, or returns are provided. The final prose adds broad qualitative criteria such as market acceptance and fund inflows that are not fully specified in the initial formula, so the practical screen is less precise than the headline rules imply.

Key ideas

• The screen combines amplitude of at least 1%, market capitalization below 10 billion yuan, positive profits, and a weekly moving-average crossover.
• The crossover is intended to identify shares with improving recent trend.
• The article warns that volatility and recent price gains can expose a screen to losses and reversals.
• It recommends broader fundamental checks and explicit risk and position controls.
• No empirical performance evidence is supplied.

Tags

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