Chinese Stock Screening with Turnover, Market Capitalization, and a 250-Day Average

Summary

This Chinese stock screen selects shares with daily amplitude above 1, circulating market capitalization above 10 billion yuan, and a prior closing price above the 250-day moving average. The description treats amplitude as a proxy for trading activity, market capitalization as a size filter, and the moving average as a way to favor stocks in a longer-term upward position. It provides indicator and Python examples, though the Python sample adds conditions such as an upward-sloping 250-day average and limits its universe to Shanghai listings.

The post cautions that size and activity filters leave out company fundamentals such as profitability and competitive position, and that a long-term technical screen may miss short-term price changes. It suggests combining the screen with fundamental data, other indicators, and market analysis. No backtest results or evidence of profitability are reported, and the stated rationale that the filters identify relatively stable stocks is not demonstrated.

Key ideas

• The screen requires amplitude above 1, circulating market value above 10 billion yuan, and price above its 250-day moving average.
• Amplitude and market value are used as proxies for trading activity and company size.
• The moving-average condition is intended to favor stocks trading above a long-term trend measure.
• The post identifies missing fundamental analysis and short-term market changes as limitations.
• It reports no performance evidence 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.