Screening for High Amplitude, Moving Average Crossovers, and Turnover

Summary

This Chinese stock-selection article proposes screening for stocks with amplitude above 1, simultaneous crossovers among three moving averages, and prior-day turnover above 8%. The stated rationale is that large price movement and aligned technical signals may help identify stocks with stronger upward momentum. An example formula also includes a ranking based on fund flows, while the Python illustration combines moving-average crossovers with amplitude and turnover filters.

The article recommends adding fundamental and industry analysis to the technical conditions. It cautions that relying heavily on indicators and a single day’s turnover can limit the screen’s usefulness across different market conditions. The examples show how the criteria might be expressed, but the document provides no backtest, performance data, or evidence that the signals predict subsequent returns. The proposed screen should therefore be read as a selection recipe with acknowledged limitations, not as a demonstrated strategy.

Key ideas

• The proposed screen combines amplitude above 1, three moving-average crossovers, and prior-day turnover above 8%.
• An example formula adds a fund-flow ranking condition.
• The Python illustration uses price and moving-average crossover conditions alongside amplitude and turnover filters.
• The article recommends adding fundamental and industry analysis to the technical screen.
• It warns that technical-indicator dependence and one-day turnover may limit the screen’s generality.

Tags

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