Screening Stocks by Volatility, Market Capitalization, and Rising Averages
Summary
This Chinese-language note describes a stock screen that combines daily amplitude above 1, circulating market capitalization above 10 billion yuan, and an upward ordering of the closing price and 5-, 10-, 20-, and 30-day moving averages. The ordered averages are used as a trend filter, while the amplitude and capitalization conditions select for active, larger stocks. The note gives formula and Python examples to illustrate the conditions.
No backtest results or realized returns are reported, so the screen's effectiveness is not established. The author cautions that rising averages do not guarantee further gains and that high amplitude can occur without a clear direction. Broader market conditions can also overwhelm individual signals. Proposed additions include other technical indicators and fundamental measures, as well as adjustments for market and sector conditions; these suggestions are not validated in the document.
Key ideas
- The screen combines a minimum amplitude and circulating market capitalization with a rising moving-average structure.
- It requires the close to exceed the 5-day average, followed by successively lower 10-, 20-, and 30-day averages.
- The note provides example formulas but no backtest evidence for the selection method.
- Rising averages and high amplitude can still produce ambiguous or misleading signals.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.