Chinese Stock Screen Using Amplitude, Turnover, and Moving Averages

Summary

The document describes a daily Chinese equity screen requiring price amplitude of at least 1%, turnover above 2% and no more than 9%, and the 20-day moving average above the 120-day average. The combination seeks stocks with some price movement and trading activity whose shorter-term average is higher than the longer-term average. It also provides example formula and Python implementations, though the Python example adds filters beyond the stated screening rules, including a market restriction and a price ceiling.

The document gives no backtest, performance figures, or evidence that the conditions predict returns. It cautions that moving averages lag and that market or macroeconomic conditions can affect individual stocks. It suggests adding fundamental measures and adapting the screen to market conditions. The strategy is therefore presented as a screening recipe, not as a validated trading system; its thresholds and implementation details would need independent review and testing.

Key ideas

• The screen requires amplitude of at least 1%, turnover above 2% and up to 9%, and the 20-day average above the 120-day average.
• The moving-average comparison selects stocks whose shorter-term average is higher than their longer-term average.
• The examples include additional implementation filters that are not part of the stated core rules.
• The document warns that moving averages lag and recommends considering fundamental and market conditions.
• No backtest or evidence of profitability is provided.

Tags

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