Chinese Stock Screen: Prior-Day Leaders, Amplitude, and Moving Averages

Summary

This Chinese equity screening rule combines three conditions: the stock’s daily amplitude exceeds 1%, it appeared on the prior day’s top-traded-stock list, and its 20-day moving average is above its 120-day moving average. The rationale is to find active stocks that have attracted unusual trading interest while showing a longer-term upward trend. The document includes formula and Python examples for combining the filters.

The article frames this as a short-term selection idea, not a tested strategy. It gives no returns, benchmark comparison, or out-of-sample evidence. It warns that the screen relies heavily on technical data, that moving averages lag, and that the eligible universe may be small. It suggests adding fundamental measures and adjusting the approach by market or industry, but does not specify a portfolio construction or risk-control method. The provided examples also depend on data definitions and timing conventions that would need checking before use.

Key ideas

• The screen requires amplitude above 1%, prior-day appearance on the top-traded list, and a 20-day average above the 120-day average.
• The proposed rationale combines short-term activity with a longer-term trend filter.
• The article offers formula and Python examples but reports no strategy performance.
• Moving-average lag, limited selections, and reliance on technical factors are stated risks.

Tags

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