Chinese Stock Screen Using Amplitude, the 10-Day Average, and Three Declines

Summary

This stock selection method looks for shares with daily amplitude above 1%, an opening price within 5% of the 10-day moving average, and three consecutive days of falling closes. The document explains these conditions as signs of elevated short-term volatility, price adjustment near the average, and weak recent sentiment. It provides example implementations for a charting formula language and Python, using rolling lows to represent the sequence of falling closes and sorting qualifying stocks by volume in one version.

The screen is presented as a way to identify stocks in a pullback, not as a tested trading strategy. No performance results, benchmark, transaction costs, or out-of-sample evidence are supplied. The text cautions that technical conditions omit company fundamentals and that selecting stocks after short-term declines can carry substantial risk. It suggests adding fundamental screening and limiting individual position sizes, alongside timely loss controls, but does not specify detailed entry, exit, or risk rules.

Key ideas

• The screen combines amplitude above 1%, an opening price near the 10-day moving average, and three consecutive falling closes.
• The opening-price condition is implemented as a band from 95% to 105% of the moving average.
• The document interprets the setup as a volatile pullback accompanied by weak sentiment.
• The examples show implementations in a charting formula language and Python.
• The method omits fundamentals and provides no evidence of profitability or defined trading exits.

Tags

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