A-Share Stock Screen Using Amplitude, Trading-Rank Activity, and the 250-Day Average

Summary

This article proposes screening Chinese stocks using three conditions: prior-day price amplitude above 1%, appearance on the previous day’s trading activity ranking list, and a closing price above the 250-day moving average. It frames the filters as a way to combine short-term volatility, unusual trading activity, and a longer-term price trend. Example indicator and Python snippets show how to calculate amplitude, check ranking-list buy and sell activity, compare price with the moving average, and sort qualifying shares by price.

The article does not report a backtest, returns, or evidence that the screen predicts gains. It warns that ranking-list data may not reveal actual capital flows, that short-term volatility and trend dependence can expose traders to reversals, and that additional volume, valuation, moving-average, sector, and risk filters could be considered. The snippets also rely on data fields and a specific historical date, so implementation needs compatible data and careful alignment to the intended prior-day conditions.

Key ideas

• The proposed screen requires prior-day amplitude above 1%, ranking-list activity, and price above the 250-day moving average.
• The conditions combine volatility, unusual trading activity, and a long-term trend filter.
• The article suggests adding volume, valuation, multiple moving averages, and sector context to refine the screen.
• Ranking lists may not accurately represent actual capital flows, and short-term filters can be vulnerable to sharp reversals.
• No backtest or 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.