Chinese Stock Screening by Price Amplitude, Five-Day Average, Size, and Profitability

Summary

This note describes a Chinese equity screen combining price movement, a short-term trend condition, company size, and profitability. It selects stocks with amplitude above a stated threshold, an average price above the five-day moving average, market capitalization below 10 billion yuan, and no losses. The accompanying discussion interprets higher amplitude as potential trading opportunity and the moving-average filter as a sign of an upward trend. A Python example sketches filters for price data and company statistics, though its calculations do not fully align with the written selection logic.

The note warns that the screen omits valuation measures and other fundamentals, and that smaller companies can carry greater risk. It suggests adding measures such as valuation, return on equity, and revenue or profit growth, alongside technical signals. No backtest, return data, or empirical evidence is provided, so the proposed rationale remains qualitative. It also recommends controlling position size and setting stop levels, without specifying how to calibrate them.

Key ideas

• The screen combines price amplitude, a five-day moving-average condition, market capitalization, and profitability.
• The accompanying rationale treats higher amplitude as a sign of greater price movement and possible trading opportunity.
• The note identifies missing valuation and broader fundamental measures as limitations.
• It proposes adding financial indicators and applying position controls, but supplies no tested performance evidence.

Tags

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