Chinese Stock Screen Using Weekly MA Crossovers and Profitability

Summary

This Chinese stock-selection note describes a screen for shares with amplitude above 1, a weekly five-period moving average crossing above the ten-period average, market capitalization below 10 billion yuan, and no losses. It frames the conditions as a combination of price movement, trend, and company financial health, then suggests considering industry effects and adding measures such as profit growth, return on equity, volatility, or value at risk.

The document offers no backtest, performance figures, or validation of the screen. Its accompanying Python example does not faithfully implement the stated criteria: it uses a different market-cap comparison, daily price conditions, and recent net income checks. The note also acknowledges that a small-cap universe may limit candidates and that reported profitability can be unreliable. Treat the screen as an untested selection idea, with implementation details requiring reconciliation before use.

Key ideas

• The screen combines amplitude, a weekly moving-average crossover, a market-cap ceiling, and nonnegative earnings.
• The suggested rationale is to combine price volatility and trend with a basic profitability filter.
• Potential extensions include industry context, profit growth, return on equity, and explicit risk measures.
• The accompanying code diverges from the written rules and does not establish strategy performance.

Tags

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