Chinese Stock Screen Using Amplitude, Control, and a Weekly MA Crossover

Summary

This post presents a Chinese stock selection screen combining three conditions: amplitude above 1, an indication that major funds controlled the stock on the previous day, and a weekly five-period moving average crossing above the ten-period average. It frames the rules as a way to identify stocks with recent activity and improving trend direction. A Python example uses market data filters and weekly closing prices to calculate the moving average crossover, though the code’s filters do not fully reproduce every stated condition.

The post warns that a screen based only on technical and flow-related signals can be sensitive to market sentiment and capital movements, and omits fundamental information and broad market conditions. It suggests adding technical, fundamental, and contextual factors. No backtest results, evidence of predictive performance, or portfolio construction and exit rules are supplied, so the screen is a candidate selection rule rather than a validated trading strategy.

Key ideas

• The screen combines amplitude, a prior-day major-fund control signal, and a weekly moving-average crossover.
• The crossover condition is a five-period weekly average moving above a ten-period weekly average.
• The post cautions that technical-only selection may be affected by market mood and fund flows.
• The sample code and stated screening rules are not fully aligned, and no performance results are reported.

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