Chinese Stock Screen Combining Volatility, Market Size, and Moving Average Convergence
Summary
This proposed Chinese equity screen combines daily amplitude above 1, circulating market capitalization above 10 billion yuan, and convergence among five moving averages. The post presents amplitude as a measure of volatility, market capitalization as a size filter, and moving-average convergence as a technical condition that may reflect price consolidation or trend behavior. It includes an indicator formula and a Python outline for filtering stocks, but does not specify a complete trading plan for entering, holding, or exiting positions.
The author cautions that the screen ignores company fundamentals and valuation, can be affected by market sentiment, and may misclassify trends or exclude stocks with favorable trends. Suggested extensions include quality and valuation factors and additional technical indicators. No backtest, return series, or evidence of predictive value is provided. The stated filters and sample implementation therefore describe a screening hypothesis, not a demonstrated source of excess returns.
Key ideas
- The proposed screen requires amplitude above 1 and circulating market capitalization above 10 billion yuan.
- It selects stocks whose five moving averages converge, using that condition as a technical feature.
- The post identifies missing fundamental and valuation analysis as important limitations.
- It proposes adding financial quality measures and other technical indicators, but reports no test results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.