A-Share Screening with Volatility, Broker-List Activity, and a Moving Average

Summary

This note describes a short-term Chinese equity screen combining prior-day price amplitude, appearance on the previous day’s Dragon-Tiger List, and a closing price above the five-day moving average. It presents indicator-formula and Python examples for calculating amplitude, checking list activity, and filtering for the moving-average condition. The article’s initial description instead refers to a close above the previous day’s low, so its stated final rule and opening rule do not fully agree.

The rationale is that larger price swings may indicate opportunity, Dragon-Tiger List activity may signal unusual trading flows, and price above the moving average may indicate short-term strength. The note acknowledges that list data may not represent actual flows and that the filters can be overly dependent on recent market conditions. It suggests adding volume, valuation, flow, or sector information and testing alternative trend filters. No performance results or backtest evidence are provided, so the screen should be treated as a hypothesis rather than a validated strategy.

Key ideas

• The final screening rule combines prior-day amplitude above a threshold, previous-day Dragon-Tiger List activity, and a close above the five-day moving average.
• The article’s opening description uses a different closing-price condition from its final rule.
• The proposed rationale links price movement, unusual trading activity, and short-term trend strength.
• Dragon-Tiger List appearances are an imperfect proxy for capital flows, and the rules may be market-regime dependent.
• The note offers no backtest results and recommends testing additional indicators and alternative trend filters.

Tags

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