Stock Screening with Amplitude, Turnover, and a Rising 30-Day Average

Summary

This note describes a Chinese equity screening rule combining daily price amplitude, turnover, and the direction of the 30-day moving average. It selects stocks with amplitude of at least 1%, turnover above 2% and below 9%, and a 30-day average close that has risen from the prior day. The article also provides formula and Python examples intended to illustrate implementation, though the Python logic does not consistently match the stated conditions.

The author identifies lag in moving averages and possible drawdowns during volatile markets as limitations. Suggested refinements include adding volume, capital-flow, and RSI measures, considering the recent slope of the average, and combining technical signals with fundamental analysis and risk controls. No backtest, performance series, or evidence of predictive value is provided, so the screen should be treated as a candidate filter rather than a validated strategy.

Key ideas

• The screen requires price amplitude of at least 1%, turnover between 2% and 9%, and a rising 30-day moving average.
• The moving-average direction is assessed by comparing its latest value with the prior day's value.
• The article proposes adding volume, capital-flow, RSI, and moving-average slope measures for further filtering.
• The author warns that lagging signals and volatile markets may contribute to missed opportunities or drawdowns.
• The examples are implementation references, and the document provides no backtest evidence.

Tags

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