Screening Stocks by Amplitude, Current Volume, Opening Gap, and Moving Averages

Summary

This note presents a Chinese equity screen using four conditions: amplitude above 1, current volume above 10,000 lots, a higher open, and the 20-day moving average above the 120-day moving average. It interprets amplitude as a measure of price activity, volume as a liquidity filter, a higher open as a potentially favorable opening signal, and the moving-average comparison as evidence of relative short-term strength. A Python example sketches how these conditions might be applied to historical stock data.

The author warns that the screen omits company fundamentals and capital flows and recommends considering financial condition and industry characteristics. No backtest, sample period analysis, or return evidence is supplied, so the suggested relationship between the filters and future gains remains untested. The code also includes additional calculations and conditions beyond the prose description, including a volume-sum threshold, making its exact behavior differ from the stated four-part screen. The approach is a candidate filter rather than a complete trading system, and it does not specify position sizing, exits, or portfolio risk controls.

Key ideas

• The stated screen combines amplitude, current trading volume, a higher open, and a 20-day average above a 120-day average.
• The moving-average comparison is intended to capture short-term strength relative to a longer trend.
• The note supplies code as an illustration but provides no backtest or return evidence.
• Fundamental, industry, and capital-flow information is identified as missing context.
• The code contains extra conditions, so it does not exactly match the prose description.

Tags

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