Screening Stocks for Volatility Near the 10-Day Moving Average

Summary

This note describes a Chinese equity screen combining three conditions: daily amplitude above 1, no limit-up close on the prior day, and an opening price near the 10-day moving average. It frames amplitude as a way to find more active stocks, excludes recent limit-up names to avoid unstable rapid advances, and uses proximity to the moving average to seek stocks with relatively steady recent price behavior. The included example code operationalizes the price-range and moving-average filters, though the written description does not specify exactly how amplitude is scaled.

The article cautions that the screen omits fundamental and other technical factors, and that a moving average lags price changes. It suggests adding valuation, profitability, momentum, industry, and macroeconomic context, then using those inputs for further selection and portfolio construction. It gives no historical test, performance evidence, or detailed entry, exit, or risk rules, so it should be treated as a preliminary screening idea rather than a fully specified strategy.

Key ideas

• The screen looks for stocks with amplitude above 1 and excludes those that closed at the daily limit the previous day.
• It selects stocks whose opening prices are near the 10-day moving average.
• The article presents volatility and moving-average proximity as screening rationales, not as demonstrated sources of returns.
• Moving averages lag, and the screen omits fundamental, industry, and broader market factors.
• The note recommends combining the screen with further analysis and portfolio diversification.

Tags

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