Screening Chinese Stocks by Amplitude, Turnover, and the Five-Day Average

Summary

This note describes a basic Chinese equity screen that selects stocks with daily amplitude above 1, prior-day turnover above 60 million, and price above its five-day moving average. It frames the filters as a combination of price activity, trading liquidity, and a short-term trend signal. A brief code example illustrates calculating amplitude and a rolling average, then combining those conditions with a volume threshold.

The document offers a rationale for each filter but gives no backtest, performance statistics, or evidence that the selected stocks subsequently rise. Its own caveats are that the screen omits company and industry fundamentals, and that a five-day average alone does not establish a durable trend. It suggests adding financial measures and other technical or market information for further research. The code's turnover condition is represented with a volume field, so it may not implement the stated monetary turnover threshold as written; the amplitude calculation and thresholds also depend on data conventions. This is a screening idea, not a complete entry, exit, or risk-management plan.

Key ideas

• The screen requires amplitude above 1, prior-day turnover above 60 million, and price above its five-day moving average.
• The filters combine price movement, liquidity, and a short-term trend measure.
• The note provides example calculations but no backtest or measured evidence of returns.
• Company fundamentals, industry context, and other trend indicators are absent from the basic screen.
• The example's volume field may not match the stated monetary turnover condition.

Tags

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