Chinese Stock Screen Using Trend, Volatility, Size, and Profitability

Summary

This article describes a Chinese equity screen combining daily price movement, a rising trend filter, a market capitalization ceiling of 10 billion yuan, and positive net profit. It frames amplitude above 1% as a way to find more volatile shares and a 20-day moving average above the 120-day average as evidence of an upward trend. The examples refer to filtering A-share listings and provide both platform-specific formula guidance and a Python sketch.

The article recommends adding company fundamentals, position controls, and flexible thresholds to address the limits of a simple screen. It warns that narrow criteria may miss candidates and that short-term price behavior can overshadow business quality. No performance results or systematic evaluation are supplied. The Python sketch uses historical price and profit data, but its conditions do not clearly implement all stated rules, so it should be treated as an illustrative reference rather than a verified equivalent of the described screen.

Key ideas

• The screen combines amplitude above 1% with a 20-day moving average above the 120-day average.
• It limits candidates to firms valued below 10 billion yuan with positive net profit.
• The article associates higher amplitude with trading opportunity and moving-average alignment with an upward trend.
• It recommends adding fundamental review and position controls to the screening conditions.
• The article provides no backtest evidence, and its Python example may not match the stated rules exactly.

Tags

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