Chinese Stock Screening with Volatility, Float Size, and Moving-Average Convergence

Summary

This document proposes a Chinese equity screening rule combining prior-session amplitude above 1%, a free float no larger than 5.5 billion shares, and convergence of five moving averages spanning short to longer periods. It frames the amplitude threshold as a way to find more active stocks and the average convergence condition as a filter for price stability. It also suggests ranking qualifying names by turnover when selecting a subset.

The article provides example implementations in a charting formula language and Python, but the code uses exact equality between moving averages, which can make the convergence condition unusually strict. The write-up presents no backtest, benchmark, or evidence that these filters identify stable growers; it acknowledges that the stock pool may become small and that fast-rising stocks could be missed. It suggests adding other indicators or varying average periods by company or industry, without testing those proposed refinements.

Key ideas

• The screen combines daily amplitude, free-float size, and five moving averages that converge.
• The example code selects for amplitude above 1% and free float at or below 5.5 billion shares.
• Exact equality among moving averages can sharply limit the number of qualifying stocks.
• The article gives no performance evidence and warns that the rules may miss rapidly rising shares.

Tags

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