Chinese Stock Screening with Amplitude, Market Capitalization, and Bollinger Bands

Summary

This post describes a Chinese equity screen combining daily amplitude above one, circulating market capitalization above 10 billion yuan, and a closing price between the Bollinger middle band and upper band. It frames the conditions as a way to combine volatility, company size, and a price-based technical filter. The article also includes indicator and Python examples intended to identify qualifying stocks.

The screen is a selection rule, not a tested trading system: the post provides no performance results, benchmark, or procedure for portfolio entry and exit. It warns that Bollinger Bands may misrepresent a stock’s behavior and that the screen omits fundamental measures such as leverage and valuation. It suggests tuning the band calculation or adding indicators, but does not demonstrate that these changes improve results. The accompanying formulas and examples do not align perfectly with the stated conditions, so implementation details should be checked before use.

Key ideas

• The proposed screen requires amplitude above one and circulating market value above 10 billion yuan.
• It selects stocks closing between the Bollinger middle and upper bands.
• The post supplies formula and Python examples, but does not report backtest results.
• It warns that the screen omits fundamentals and may misread price behavior.
• The examples appear inconsistent with parts of the written screening rule.

Tags

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