Chinese Stock Screening with Moving Averages, Float Capitalization, and Amplitude

Summary

This note describes a Chinese equity screening rule combining three conditions: daily amplitude above 1, circulating market capitalization above 10 billion yuan, and the 20-day moving average above the 120-day moving average. The moving-average relationship is used as a trend filter, while the capitalization and amplitude conditions select for larger, more active stocks. It also gives example indicator and Python implementations, though the code’s amplitude calculation uses a range across the retrieved daily data rather than clearly specifying a single day.

The article argues that a larger float capitalization may reduce risk and that adding a trend condition can make the screen more targeted. It provides no backtest, return figures, or other empirical evidence for those claims. It cautions that moving averages are limited and that relying on technical conditions can overlook company finances, industry developments, and policy factors. It suggests adding fundamental and sector measures and adapting moving-average periods to market or industry conditions. The screen is a candidate-selection rule, not a complete trading or risk-management plan.

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 article offers example implementations but no backtest or performance evidence.
• The screen may miss fundamental, industry, and policy risks.

Tags

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