Chinese Stock Screening with Volatility, Market Value, and a Weekly Moving Average

Summary

This note describes a Chinese equity screen combining daily price range, circulating market value, and a weekly moving-average signal. It seeks stocks with an amplitude above 1, a circulating market value above 10 billion yuan, and a weekly close crossing above the 30-week average. The stated rationale is to combine trading activity, company scale, and trend direction. The document also gives a formula reference and a Python example, though that example adds Bollinger Band and rising-price checks that do not exactly match the stated screen.

The author cautions that the rules omit company fundamentals and industry conditions, so the resulting list may be incomplete and a stock's performance may not persist. Suggested additions include valuation, earnings, sector context, turnover, and other technical signals. No performance results or backtest evidence are presented, and the implementation details contain inconsistencies that readers should resolve before relying on the screen.

Key ideas

• The screen combines a daily amplitude threshold, a circulating market-value filter, and a weekly moving-average trend condition.
• The stated rationale is to favor active, larger stocks showing technical strength.
• The Python example adds Bollinger Band and price-rise conditions, so it differs from the stated selection logic.
• The document recommends adding fundamental and industry analysis because technical and trading data alone provide an incomplete assessment.

Tags

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