Chinese Stock Screen Using Amplitude and Moving Average Trends

Summary

This Chinese-language post describes an equity screening rule combining three conditions: daily amplitude above 1%, a weekly five-period moving average crossing above the ten-period average, and the 20-day average above the 120-day average. The rationale combines volatility, a shorter-term trend turn, and confirmation that the shorter daily average remains above a longer one. The post also provides formula and Python examples for screening stocks, including additional universe filters in the code.

The post characterizes volatile stocks as candidates for short-term trading and the moving-average conditions as trend and longer-horizon filters. It warns that unusual market swings can make amplitude less useful and that indicator details may be overly sensitive to particular conditions. It suggests adjusting thresholds and adding capital-flow or sector information. No backtest, performance evidence, or risk-adjusted results are presented, so the proposed screen should be treated as a selection concept rather than a validated strategy; its thresholds and implementation details may require review before use.

Key ideas

• The screen requires amplitude above 1%, a weekly five-period average crossing above the ten-period average, and the 20-day average above the 120-day average.
• The conditions combine a volatility filter with shorter- and longer-horizon trend checks.
• The post supplies formula and Python screening examples, with additional filters appearing in the code.
• The author cautions that unusual volatility and market-specific sensitivity can weaken the screening logic.
• No performance testing is provided, and the thresholds may need adjustment for the market and use case.

Tags

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