A Chinese Equity Screen Combining Range, Turnover, and Rising Lows

Summary

This post describes a rule based screen for Chinese stocks. It looks for price amplitude above one, a ratio formed from yesterday’s turnover and today’s auction volume relative to yesterday’s volume between 0.5 and 2, and a rising bottom pattern. The accompanying indicator description defines amplitude from the day’s high, low, and close, and describes rising bottoms by comparing recent lows. Its example implementation also adds a minimum distance between the close and a recent low, along with a cap on repeated flat price observations.

The post gives no backtest, performance statistics, or evidence that the screen has predictive value. It acknowledges that a small set of technical conditions can miss fundamental and financial risks, and that the rising bottom measure may be imprecise. It suggests combining technical conditions with financial data and broader indicators, so the rules are best understood as an illustrative screening idea rather than a validated trading strategy.

Key ideas

• The screen combines a price amplitude threshold, a turnover and auction volume ratio band, and a rising lows condition.
• The post describes recent low comparisons as a way to characterize a rising price base.
• Its example adds conditions based on the close relative to a recent low and repeated unchanged observations.
• No backtest or performance evidence is provided for the selection rules.
• The author notes that technical screening can overlook company fundamentals and financial risks.

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