A Chinese Stock Screen Combining Intraday Range, Decline, and Volume

Summary

The document describes a Chinese equity screen with three conditions: daily amplitude above 1%, the session low between 4% and 5% below the prior close, and a composite activity measure between 0.5 and 2. That measure multiplies the prior day’s turnover by the ratio of current auction volume to the previous day’s total volume. A sample implementation also excludes stocks beginning with a specified market code prefix.

The post explains the rule as a way to add a turnover and auction-volume filter to a price-based selection. It cautions that the added measure may misclassify stocks and that the inputs rely on recent historical data. The listed indicator formula and sample Python logic do not align perfectly with the written rule: for example, the code uses recent volume comparisons and computes amplitude and decline from daily bars. No backtest results or evidence of profitability are presented, so the screen should be treated as a hypothesis requiring validation.

Key ideas

• The screen combines a minimum daily range with a tightly bounded decline from the prior close.
• It filters for a specified range of prior turnover multiplied by an auction-to-prior-volume ratio.
• The sample code and the prose description do not fully match in how they calculate the conditions.
• The author flags possible indicator error and lag from using recent data.
• The document reports no performance evidence for the stock-selection rule.

Tags

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