A Chinese Stock Screen Combining Intraday Declines and Price Filters

Summary

This Chinese equities screening idea combines several filters: exclude stocks marked ST, require an amplitude above one, apply a five-session closing-price high condition, and select stocks whose intraday low is down within a narrow four-to-five percent band relative to the previous close. The article frames the selection as a possible short-term dip-buying approach and says it is intended for use before 10 a.m. The supplied Python example calculates the filters from price and name data.

The approach is a simple rules-based screen rather than a fully specified trading system. The article notes that focusing on a single day’s decline can disregard longer-term trends and that the limited filters omit financial information. It recommends adding fundamental and trend analysis and evaluating the model through backtesting. The five-session condition is described as a limit-up method, but the example implements it as a rolling closing-high comparison; the text provides no performance evidence or detailed execution rules.

Key ideas

• The screen combines price amplitude, ST-status exclusion, a five-session closing-price condition, and an intraday decline band.
• The article presents the setup as a possible short-term dip-buying screen.
• The example derives amplitude from the day’s high, low, and previous close.
• The method does not account for longer-term trend or company financial data.
• The article recommends broader analysis and backtesting, but supplies no performance results.

Tags

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