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

Summary

This Chinese equity screening rule looks for stocks with amplitude above 1, an opening price near the 10-day moving average, and turnover between 3% and 12%. The sample implementation defines “near” as within 5% of the moving average. The stated rationale is to find stocks with notable price movement that are around a short-term average, while avoiding turnover levels considered too high. The document offers indicator and Python examples, but no measured results or evidence that these criteria predict profitable trades.

The article cautions that the screen is narrow and turnover alone does not fully describe trading activity or stability. It suggests adding indicators such as KDJ or RSI and considering other forms of market analysis. Implementation details also deserve review: the examples use prior-period data in some conditions and define amplitude using a particular high-low and close calculation, which may differ from other conventions. The screen is therefore a candidate filter rather than a validated strategy.

Key ideas

• The screen combines amplitude above 1, an opening price near the 10-day average, and turnover from 3% to 12%.
• The code example defines proximity to the moving average as a range within 5% of it.
• The article frames turnover as one measure of activity, not a complete assessment of trading conditions.
• It offers no backtest or performance evidence for the screening rule.
• Additional indicators and careful checks of data definitions may refine the screen.

Tags

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