Chinese Stock Screening with Amplitude, Float Size, and Rising DEA

Summary

This Chinese equity screening rule combines three conditions: daily amplitude above 1, tradable share count no greater than 5.5 billion, and a rising DEA line derived from MACD. The article explains the intended rationale: amplitude may identify stocks with short-term movement, a smaller float may offer greater potential alongside greater risk, and rising DEA may indicate strength. It also sketches how to express the filters in indicator and Python-style code.

The article provides no backtest results or performance evidence for this specific rule. It cautions that the selection is simple, omits fundamentals and broader market conditions, and may treat a rising DEA as stronger evidence than it is. It recommends checking other indicators and fundamentals and validating the rule, including testing a reversed version. The code examples also use differing definitions of DEA and reference prices, so implementation details should be verified before research or trading.

Key ideas

• The screen requires amplitude above 1, a float of at most 5.5 billion shares, and a rising DEA measure.
• The article links amplitude to short-term trading activity and a smaller float to potentially higher risk and return.
• A rising DEA alone may not reliably establish that a stock is strong.
• The rule should be evaluated with other indicators, fundamentals, and market conditions.
• The article gives no performance results for the proposed screen.

Tags

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