Screening for Volatility Near the 10-Day Average and Rising Momentum

Summary

This Chinese-language note outlines an equity screen for stocks with amplitude above 1, an opening price near the 10-day moving average, and a short-term average turning upward relative to a longer average. Its example defines “near” as within five percent of the 10-day average and checks that the 5-day average is above the 10-day average after having recently declined. The intended setup is a volatile pullback near a reference average with signs of a possible upward turn.

The note provides sample indicator and Python logic, but the code’s amplitude calculation uses the prior day’s high, low, and close, and the moving-average checks are only a simplified interpretation of upward divergence. The write-up acknowledges false signals, noise, and the absence of fundamental analysis. It suggests adding other technical measures and company or industry information. No backtest or performance evidence is included, and the screen alone does not establish that a reversal is likely.

Key ideas

• The screen combines amplitude above 1, an opening price near the 10-day average, and a rising short-term average.
• The example defines “near” as within five percent of the 10-day average.
• The code approximates upward divergence by comparing the 5-day and 10-day averages and recent movement in the 5-day average.
• The note warns about noisy signals, false turns, and the lack of fundamental analysis.
• No backtest or performance evidence is reported.

Tags

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