Chinese Stock Screen for Range, Ten-Day Average, and Float Market Value

Summary

This Chinese equity screen combines three filters: amplitude above 1, an opening price near the ten-day moving average, and circulating market value above 10 billion yuan. The accompanying formula defines “near” as an opening price between 95% and 105% of the moving average. The post describes the range condition as a way to find stocks with greater movement, the moving-average band as a stability filter, and the market-value threshold as a way to favor larger and more established names. It includes formula and Python examples for applying the conditions together.

The article acknowledges that a fixed market-value threshold does not capture changing market conditions and that these few rules cannot represent all drivers of returns. It recommends incorporating company fundamentals, industry trends, market style, and liquidity. These are general suggestions rather than tested refinements. No backtest, benchmark, transaction-cost analysis, or portfolio rules are supplied, and the claim that the filters identify attractive opportunities is not supported by reported results. The screen is best understood as a basic candidate-selection recipe with unverified performance.

Key ideas

• The screen requires amplitude above 1 and an opening price within 5% of the ten-day moving average.
• It also requires circulating market value above 10 billion yuan.
• The post presents amplitude as a volatility filter and market value as a size and activity filter.
• The article warns that fixed thresholds and a small set of inputs omit broader market and company factors.
• No historical test results or transaction-cost analysis are reported.

Tags

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