Screening Stocks by Daily Range, Five-Day Trend, and Market Capitalization

Summary

This document describes an equity screen based on three conditions: daily price amplitude above 1, the closing price above its five-day moving average, and a float market capitalization above 10 billion yuan. It interprets the amplitude filter as a way to find more active stocks, the moving-average condition as a possible indication of an upward short-term trend, and the capitalization threshold as a preference for larger companies. A code example also proposes adding positive ROE and EPS filters.

The document provides formulas and illustrative code, but no backtest, performance statistics, or evidence that the combination improves returns or reduces risk. It explicitly acknowledges that the screen omits important company fundamentals and suggests adding such measures and applying stop-loss and profit-control rules. The examples contain differing representations of the amplitude threshold, so implementation details would need to be checked against the intended units and data definitions.

Key ideas

• The screen combines a daily amplitude threshold, a close above the five-day moving average, and a minimum float capitalization.
• The moving-average rule is intended to identify stocks with short-term upward momentum.
• The example proposes adding positive ROE and EPS as additional fundamental filters.
• No performance evidence is given, and the document advises risk controls and attention to omitted fundamentals.

Tags

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