Screening Shanghai-Listed Stocks by Amplitude and Moving Average Order

Summary

This post presents a daily stock screen for shares whose codes begin with 60, whose intraday high-low range exceeds one percent of the previous close, and whose five-day, ten-day, and sixty-day simple moving averages are ordered from highest to lowest. The author interprets the amplitude condition as a volatility filter and the moving-average ordering as an indication of an upward trend. The post includes formula and Python examples that apply these filters and return stocks for the current trading date.

The page describes a screening rule, not a complete portfolio or trading system: it gives no buy execution, exit, position sizing, or risk-control method. It warns that high amplitude does not itself imply favorable performance and that a moving-average-only screen may miss other candidates. Suggested extensions include adding market or fundamental factors, turnover, price change, or different lookback windows. No backtest results or evidence of predictive performance are supplied, so the screen’s usefulness and robustness remain untested in the document.

Key ideas

• The screen selects codes beginning with 60 and daily amplitude above one percent of the previous close.
• It requires the five-day average to exceed the ten-day average, which must exceed the sixty-day average.
• The post provides formula and Python examples for filtering stocks on the current date.
• High amplitude and moving-average ordering do not guarantee favorable performance.
• The screen has no stated portfolio construction, execution, or exit rules, and no test results are reported.

Tags

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