Filtering Stocks by Price Amplitude, Turnover, and Moving Averages

Summary

This Chinese stock-selection note starts with a screen for stocks whose price amplitude exceeds a threshold, whose prior-day turnover falls within a specified range, and whose share price is around a stated level. It then revises the price condition: instead of a fixed price, the final rule selects stocks trading above several short- and medium-term moving averages. The note includes example formula and Python snippets for applying the filters.

The rationale is to combine price movement, trading activity, and a trend check. The author cautions that the screen omits company fundamentals and that a rigid share-price cutoff may exclude candidates; suggested refinements include valuation measures and a moving-average condition. No backtest, performance data, or evidence that the filters predict returns is provided. The sample code and prose also differ in places, so the turnover and amplitude definitions should be checked before implementation.

Key ideas

• The initial screen combines a minimum price-amplitude threshold with a bounded prior-day turnover range.
• The final proposed rule requires price to be above three moving averages.
• A fixed share-price condition may be too rigid and can exclude otherwise suitable stocks.
• The note recommends adding fundamental measures but provides no performance evidence for the screen.

Tags

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