Chinese Stock Screening with Amplitude, Institutional Participation, and Rising Averages
Summary
This Chinese-market stock screen combines three conditions evaluated after the daily close: a five-day amplitude measure above one, institutional participation above 30, and a strictly ascending stack of the 5-, 10-, 20-, 30-, and 60-day moving averages. The author presents the filters as a way to find stocks with price movement, institutional involvement, and a strong short-term trend. The post also gives formula and Python references for expressing the conditions, though the sample code depends on platform-specific data fields and functions.
The document offers no backtest results, selected-stock examples, or evidence that the combination predicts future returns. It cautions that the screen omits company fundamentals and industry conditions, and suggests adding fundamental, sector, and capital-flow analysis. The amplitude and institutional-participation definitions are not explained in detail, so their data source and calculation should be checked before implementation. A daily screening rule also says little by itself about entry execution, exits, or portfolio risk.
Key ideas
- The screen requires the five-day amplitude measure to exceed one and institutional participation to exceed 30.
- It selects stocks whose moving averages rise in order from the 5-day through the 60-day period.
- The scan is intended to run after the daily close.
- The post warns that price and participation filters omit company fundamentals and industry context.
- No performance evidence is provided, and the platform-specific inputs require validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.