A-Share Screening with Moving Averages, Limit-Ups, and Amplitude

Summary

This stock screen combines three conditions: daily amplitude above 1, at least one limit-up event within the past month, and a 20-day moving average above the 120-day moving average. The moving-average relationship is intended to identify an upward trend, while the recent limit-up and amplitude conditions select for active, volatile stocks. The document also proposes adding valuation filters, specifically price-to-earnings below 30 and price-to-book below 3, to bring basic company measures into the screen.

The article provides indicator formulas and a sample historical screening workflow that filters stocks and ranks matches by a heat measure. It presents no backtest results or performance evidence. It cautions that moving-average choices can materially affect results, price-only filters omit fundamentals, and a short selection horizon can overfit. The added valuation conditions broaden the criteria, but the document does not show whether they improve returns or address execution, risk, or survivorship concerns.

Key ideas

• The screen requires amplitude above 1, a recent limit-up event, and the 20-day average above the 120-day average.
• The moving-average condition represents a trend-following component, while amplitude and limit-up history target active stocks.
• The proposed expanded screen adds price-to-earnings below 30 and price-to-book below 3.
• The document warns that parameter choices, omitted fundamentals, and short sample periods can undermine results.

Tags

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