Filtering Large-Cap Stocks by Amplitude and Price Above the Five-Day Average
Summary
This proposed Chinese equity screen selects stocks with daily amplitude above 1%, circulating market capitalization above 10 billion yuan, and closing price above the five-day moving average. The article presents amplitude as a measure of trading activity, market capitalization as a size filter, and the moving-average condition as a short-term upward-trend signal.
No performance results or backtest evidence are supplied. The article cautions that prices above a short moving average may reflect a temporary rebound and that the rules omit company fundamentals and industry conditions. It recommends adding those considerations and comparing different moving-average periods. The accompanying sample code does not fully match the stated screen: it checks market and turnover conditions, and does not clearly implement the amplitude and market-cap filters. This discrepancy makes independent verification important before treating the example as an operational strategy.
Key ideas
- The stated screen requires amplitude above 1%, circulating market value above 10 billion yuan, and price above the five-day average.\nThe moving-average rule is intended to identify short-term upward price direction.\nThe article warns that a short-term rise may be a temporary rebound and omits fundamental and industry analysis.\nThe sample code differs from the written rules and the article gives no performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.