Chinese Stock Screening with Market Capitalization and Moving Averages

Summary

This Chinese equity screen selects listed Shanghai or Shenzhen stocks using three conditions: amplitude above 1, circulating market capitalization above 10 billion yuan, and the 20-day moving average above the 120-day moving average. It combines a volatility threshold, a company-size filter, and a longer-term price trend condition. The accompanying discussion characterizes larger firms as potentially more stable and the moving-average comparison as a way to focus on stocks with an upward trend, but it supplies no backtest results or evidence of returns.

The article warns that the screen relies heavily on technical conditions and omits financial, industry, and policy factors. Moving averages also cannot fully describe price behavior. It suggests adding valuation and other contextual measures and adapting moving-average periods to market or industry conditions. The included formula and sample script illustrate implementation, though the script’s amplitude calculation and data handling may not match the stated screen precisely, so users should verify definitions before relying on it.

Key ideas

• The screen requires amplitude above 1 and circulating market capitalization above 10 billion yuan.
• It selects stocks whose 20-day moving average is above the 120-day moving average.
• The selection combines volatility, company size, and a trend condition, but reports no performance evidence.
• The article identifies omitted financial, industry, and policy factors as limitations.
• Moving-average periods and additional screening variables may need adjustment for market conditions.

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