Chinese Stock Screen for Volatility, 10-Day Average, and Mid-Cap Size

Summary

This document describes a Chinese equity screen combining daily price range, the opening price relative to the 10-day moving average, and circulating market capitalization. It selects stocks with amplitude above 1, an open within roughly five percent of the 10-day average, and circulating value between 5 and 10 billion yuan. The stated rationale is to find volatile stocks in a possible adjustment phase while retaining a mid-cap size constraint.

The article provides indicator and Python examples, including ranking qualifying stocks by trading volume. It offers no backtest results or performance evidence. The author notes that the rules are simple, lack prioritization, and omit other company fundamentals; the accompanying discussion also ambiguously associates the screen with a downtrend and long-term potential. Suggested improvements include adding valuation measures, weighted ranking, and stronger risk controls.

Key ideas

• The screen requires price amplitude above 1 and an opening price near the 10-day moving average.
• It limits candidates to a stated circulating market value range of 5 to 10 billion yuan.
• The sample implementation intersects all three filters and ranks candidates by volume.
• The article provides no empirical performance evidence and warns that the rules omit important fundamentals.
• Suggested refinements include valuation inputs, weighted ranking, and stronger risk management.

Tags

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