Chinese Stock Screen Using Amplitude, Float Size, and Moving Averages

Summary

This Chinese equity screening approach combines three conditions: daily amplitude above a threshold, a free float no larger than a stated share limit, and the 20-day moving average above the 120-day moving average. The post frames the range condition as a way to find more active stocks, the float limit as a small-cap filter, and the moving-average relationship as a trend filter. Its examples show how to combine the conditions and rank qualifying stocks by turnover, selecting a portion of the candidates.

The article cautions that the screen ignores company finances and fundamentals, and that broad market moves or company-specific events can affect results. It suggests adding financial and fundamental measures and periodically reviewing the selection logic. No backtest, portfolio performance, or evidence that the filters improve returns is reported. The stated thresholds and code examples are specific to the described setup, and the post’s characterization of small-cap risk and trend stability should not be treated as demonstrated results.

Key ideas

• The screen selects stocks using amplitude, free-float size, and a short-versus-long moving-average condition.
• The example implementation intersects the filters and ranks candidates by turnover.
• The post associates the amplitude filter with activity and the float filter with smaller companies.
• It warns that the screen omits financial health and company fundamentals.
• No performance testing is presented, and the author recommends reviewing and adjusting the rules.

Tags

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