Screening Shanghai-Listed Stocks with Weekly MA Crossovers and Amplitude

Summary

This proposed Chinese equity screen selects stocks whose codes begin with 60, whose amplitude exceeds one percent, and whose five-week moving average crosses above the ten-week moving average. It frames amplitude as a volatility filter and the moving-average crossover as a signal of upward momentum. The accompanying Python example loops over listed stocks and checks a daily-data crossover, alongside a cumulative daily percentage-change condition; it does not clearly implement the stated weekly timeframe or amplitude requirement.

The article provides no backtest results or evidence that the screen produces profitable trades. It flags the narrow stock-code universe and the limited criteria as constraints, and notes exposure to market shifts and individual-stock declines. It proposes adding technical and fundamental measures, sector context, and historical analysis, but offers no tested integration method. Readers should treat the rule set as an unvalidated screening idea, with a notable mismatch between the described weekly signal and the example code.

Key ideas

• The stated screen combines amplitude above one percent, a weekly five-over-ten moving-average crossover, and a stock code beginning with 60.
• The crossover is intended to identify upward momentum, while amplitude acts as a volatility filter.
• The example code checks a daily moving-average crossover and does not clearly implement all stated conditions.
• The article presents no performance evidence and notes the limits of the narrow universe and simple criteria.
• It suggests adding fundamentals, sector context, and further historical analysis without documenting a tested method.

Tags

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