A Chinese Stock Screen Combining Price Moves and Financial Filters

Summary

The post proposes screening Chinese equities for elevated daily range, at least one daily gain of 10% or more during the past 25 trading days, and a pre-open price change below 6%. It then extends the screen with company and industry comparisons, including profitability, debt, and valuation measures. The stated goal is to combine recent price strength and volatility with financial and market context. Example formulas are included for implementation in stock-screening and Python environments.

The post itself presents no backtest, benchmark, or live-trading evidence. It flags risks from relying on one pre-open observation, omitting fundamentals in the initial screen, using price changes without valuation context, and setting restrictive thresholds. The expanded criteria and sample formulas are not fully consistent in places, so the screen should be checked carefully before use. The proposed filters are hypotheses for candidate selection, not demonstrated sources of excess returns.

Key ideas

• The initial screen combines a daily-range condition with recent large gains and a pre-open change limit.
• The expanded version adds profitability, debt, and valuation comparisons against industry measures.
• The post identifies timing sensitivity, omitted valuation context, and restrictive thresholds as risks.
• No empirical performance evidence is provided, and parts of the sample logic appear inconsistent.

Tags

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