Screening for High Amplitude Near the 10-Day Average in an Uptrend

Summary

This Chinese equity screen combines three conditions: prior-day amplitude above 1, an opening price within 5% of the 10-day moving average, and the 20-day moving average above the 120-day average. The article frames the first condition as a volatility filter, the second as a way to find prices near a shorter-term reference, and the moving-average comparison as a broad uptrend filter. It provides formula-style and Python examples for applying the conditions.

The document presents no backtest or performance results, so it offers a screening hypothesis rather than evidence of an effective strategy. It notes that moving averages lag and that high-amplitude stocks can carry greater risk; historical prices also cannot account for future company changes. It suggests combining technical and fundamental analysis and considering market capitalization. The examples should be checked for consistent definitions and data timing before use, since the amplitude calculation references prior-day prices while other conditions use current values.

Key ideas

• The screen requires prior-day amplitude above 1 and an opening price within 5% of the 10-day average.
• It also requires the 20-day moving average to exceed the 120-day average.
• The moving-average comparison is intended to identify stocks in a broader uptrend.
• The article notes that moving averages lag and high-amplitude stocks can be risky.
• No performance evidence is reported, and the examples require implementation checks.

Tags

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