Screening for High Amplitude, Two-Day Highs, and Opens Near the Ten-Day Average

Summary

This note proposes a short-term Chinese equity screen with three conditions: amplitude above 1, the current high equal to the highest high over two days, and the opening price near the ten-day moving average. It gives formula and Python examples, including a proximity tolerance of 2% of the close for the opening-price condition. The accompanying rationale interprets the high and amplitude as signs of active price movement, while an open near the average may indicate a pullback or rebound area. Additional filters are left as placeholders rather than specified rules.

The author warns that technical conditions alone may miss fundamentals and longer-term trends, and that short-horizon signals can increase turnover and trading costs. Suggested improvements include combining technical, fundamental, and market-sentiment factors or refining trade rules to reduce frequency. The document provides no backtest results, validation, or cost estimates, so the screen’s rationale is illustrative and its predictive value remains unestablished.

Key ideas

• The screen combines amplitude above 1, a two-day high, and an open near the ten-day moving average.
• The example defines “near” using a 2% tolerance relative to the close.
• The code leaves additional screening conditions unspecified.
• The author notes that technical filters may omit fundamentals and longer-term price behavior.
• Frequent trading from short-term signals may increase transaction costs, and no validation is shown.

Tags

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