Stock Screening with Amplitude, Control Activity, and a Weekly Moving Average Cross

Summary

The document outlines a Chinese A-share screening idea combining daily price amplitude above a threshold, a measure of controlling-shareholder activity, and a weekly moving-average crossover. It presents the filters as a way to find stocks with upward technical momentum, then suggests adding favorable financial and industry conditions. The article also mentions adjusting indicator parameters, adding pattern or momentum analysis, and managing exposure through position sizing and diversification.

It gives formula and Python examples, but the Python implementation does not actually calculate the stated filters: its data checks mostly test whether stock codes appear in historical data, and the moving-average crossing logic is unclear. No backtest results or performance evidence are provided. The strategy is therefore a screening concept rather than a validated trading system, and the document itself notes market, fundamental, and lagging-indicator risks.

Key ideas

• The proposed screen combines daily amplitude, controlling-shareholder activity, and a weekly moving-average crossover.
• The article recommends considering company fundamentals and industry conditions alongside technical signals.
• Position sizing and diversification are suggested as ways to manage portfolio risk.
• The sample Python implementation does not faithfully implement the described screening conditions.
• No performance results are presented, so the strategy's effectiveness is not established.

Tags

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