Stock Screening with Amplitude, Control Activity, and Moving Averages

Summary

This post describes a Chinese stock screen that starts with price amplitude, a daily control activity measure, and a comparison of the 20 day and 120 day moving averages. It interprets the moving average relationship as evidence of an intermediate to longer term upward trend. The proposed refinement adds a price to earnings ceiling and a return on equity ranking filter, with example indicator logic and a Python-style selection process that ranks candidates by a heat measure.

The author warns that the control activity measure may reflect misleading large holder behavior, amplitude can capture short lived noise, and technical screening can miss fundamental drivers. It recommends considering company fundamentals and adjusting moving average choices. The post provides no backtest, benchmark, transaction cost analysis, or realized return evidence, and the terminology and implementation of the control measure may need verification before use. The rules are presented as a candidate screen rather than a validated strategy.

Key ideas

• The initial screen combines amplitude, a daily control activity measure, and a 20 day versus 120 day moving average comparison.
• The proposed refinement adds a price to earnings limit and a return on equity ranking filter.
• The example process ranks qualifying stocks by a heat measure and returns a limited set of candidates.
• The post flags possible manipulation effects, short term noise, and gaps caused by omitting fundamentals.
• No backtest or performance evidence is provided for the screening rules.

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