Screening Stocks by Volatility, Dragon-Tiger Activity, and Moving Averages

Summary

This note describes a Chinese stock screen requiring amplitude above 1, appearance on the previous day’s Dragon-Tiger List, and a moving-average condition involving five averages. It presents the combination as a way to find volatile stocks receiving market attention while also meeting a trend-related filter. Example code calculates amplitude, checks list membership, and derives moving averages over 5, 10, 20, 30, and 60 days.

The moving-average definitions are inconsistent: the prose says at least five averages should converge, while the examples use ordered averages or chained crossovers, which represent different conditions. The note gives no backtest or evidence that list activity or these moving-average patterns forecast returns. It cautions that volatility increases risk, list data do not capture the whole market, and moving-average alignment does not ensure a lasting uptrend. It suggests adding technical and fundamental measures, money-flow information, or sector context, but does not specify or evaluate those additions. The screen should be treated as an incomplete selection rule rather than a tested trading system.

Key ideas

• The screen combines amplitude above 1, previous-day Dragon-Tiger List activity, and a five-average moving-average condition.
• The examples use moving averages of 5, 10, 20, 30, and 60 days.
• The written convergence criterion differs from the code’s ordering and crossover conditions.
• The document presents no backtest or evidence of predictive performance.
• It warns that volatility, list data, and moving-average alignment each have important limitations.

Tags

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