Chinese Stock Screening with Amplitude, a 10-Day Average, and Broker-榜 Data

Summary

The document describes a Chinese stock screen combining three conditions: prior-day price amplitude above 1%, an opening price near the 10-day moving average, and a prior-day appearance on the 龙虎榜, a list of notable trading activity. It explains the intended rationale: seek volatile stocks, openings near a recent average, and securities attracting market attention. It also gives formula and Python examples for combining the filters; the broker-list condition depends on data that the formula example says is not built into Tongdaxin.

The article offers no backtest or performance evidence. It cautions that a 龙虎榜 appearance does not itself imply a bullish or bearish outcome, and that a screen using only a few indicators can miss important factors. Suggested refinements include adding fundamental and technical data, considering the specific buy and sell amounts behind the listing, and applying stop-loss and position controls. The stated “around” the moving average is implemented as an opening price within 5% above or below it, a parameter choice that is not validated in the document.

Key ideas

• The screen combines prior-day amplitude above 1%, an opening price within 5% of the 10-day moving average, and prior-day 龙虎榜 activity.
• The author associates amplitude with opportunity, proximity to the moving average with relative stability, and the listing with market attention.
• A 龙虎榜 appearance can reflect speculation or other factors and is not inherently positive or negative.
• The examples show how to combine the filters, but the document provides no performance test.
• The author suggests adding other analysis and risk controls to address the screen's limited inputs.

Tags

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