Filtering Chinese Stocks by Price Range, Ownership Concentration, and Moving Average

Summary

This article outlines a Chinese stock screen based on price amplitude, exchange board, ownership concentration, and a moving-average condition. It first selects stocks with amplitude above 1%, excludes Beijing-listed shares, and uses a concentration measure between 20% and 70%. Its proposed refinement adds a condition that the price be above a moving average and suggests selecting at least 50 securities. The article includes formula and Python examples for expressing these filters.

The screen combines a volatility measure with market classification and a measure intended to reflect concentration, then adds a simple trend filter. The source does not define the concentration measure clearly, and its descriptions and examples are not fully consistent about the amplitude threshold or whether price must be above the moving average. It warns that the method omits company fundamentals, may be overly dependent on technical inputs, and could return too few stocks. No historical test or performance evidence is supplied, so the rules need clearer definitions and independent evaluation before use.

Key ideas

• The initial screen uses price amplitude above 1%, excludes Beijing-listed shares, and applies a concentration range of 20% to 70%.
• The suggested refinement adds a moving-average condition and a minimum selection count of 50.
• The article provides example formulas and Python logic but leaves the concentration measure insufficiently explained.
• The written thresholds and sample implementations contain inconsistencies that could change the selected stocks.
• The method lacks fundamental analysis and performance evidence.

Tags

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