Screening Stocks by Amplitude, Ten-Day Return, and Moving Average

Summary

The document outlines a Chinese stock screen combining daily price amplitude above 1%, a positive ten-day return below 35%, and a price near the ten-day moving average. It presents the screen as a way to find shares with noticeable movement and recent gains while avoiding the most extended price rises. Its examples show indicator formulas and a Python sketch, including a 5% band around the moving average and amplitude measured against the prior close.

The author says the moving average is a lagging signal and warns that short-term price filters can miss other relevant information; past performance does not guarantee future results. Suggested refinements include adding indicators such as RSI or MACD and diversifying across securities or sectors. The examples are not fully consistent: the stated condition refers to the opening price near the moving average, while the code checks closing price, and the formula example also includes a close-above-average test. No backtest results or evidence of profitability are provided.

Key ideas

• The screen combines amplitude above 1% with a positive ten-day return below 35%.
• The written rule places the opening price near the ten-day moving average, while the Python example applies a band to the stock price around that average.
• The document also supplies an indicator formula and a Python implementation sketch.
• Moving averages lag, and short-term technical filters may omit important information.
• The author recommends combining indicators with broader analysis and diversifying holdings.

Tags

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