A Chinese Stock Screen Combining Intraday Volatility and Recent Gains

Summary

This Chinese-language post describes a stock screening rule intended for selections made before 10 a.m. It combines an amplitude threshold above 1, exclusion of ST-designated stocks, a five-session condition requiring closes at or above their five-period moving average, and a 10-day return above zero but below 35%. The accompanying Python example shows calculations for amplitude, moving-average flags, and the return filter. The author frames the added return condition as a way to focus on stocks with positive but bounded recent gains.

The post cautions that price-based screening can overlook fundamentals and other relevant factors, and suggests adding market, sector, and company information. It offers no performance data, benchmark comparison, or precise definition for the named limit-up method beyond the sample moving-average condition. The code’s 10-day return calculation uses the prior close field, so the intended lookback may not be fully represented by that calculation. The screen should therefore be treated as an idea to investigate, not a validated strategy.

Key ideas

• The screen combines an amplitude threshold, exclusion of ST stocks, and a morning selection-time condition.
• Its five-session filter requires each close to meet or exceed a five-period simple moving average.
• It selects stocks with a stated 10-day gain above zero and below 35%.
• The author warns that price filters can omit company fundamentals, sector context, and market sentiment.
• No backtest evidence is provided, and the example return calculation may not implement the stated 10-day lookback.

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