A Chinese Stock Screen Combining Volatility, Price Surges, Size, and Profitability

Summary

This post proposes a Chinese equity screen combining a large daily trading range, at least one sharp price gain within a recent trading window, a market-cap ceiling, and positive net profit across recent quarters. It frames the surge condition as a short-term momentum signal and adds size and profitability filters intended to emphasize smaller profitable companies. It also gives formula and Python examples and suggests ranking selected names by trading volume.

The document warns that the rules may be overfit, omit relevant company factors, or rely on unreliable financial data, and recommends broader validation and careful data checks. The examples do not provide performance results or evidence that the filters work. There are also implementation ambiguities: the prose describes a recent-window event, while the displayed formulas and Python conditions do not consistently express that full condition; the daily-range threshold is expressed using ATR in the formula. These differences should be resolved before testing or use.

Key ideas

• The proposed screen combines daily range, a recent large gain, a market-cap limit, and positive recent quarterly profit.
• The post provides formula and Python examples and proposes volume-based ranking.
• It cautions that the screen may be overfit, omit relevant factors, or use inaccurate financial data.
• The examples do not establish profitability or provide backtest evidence.
• The written rules and code examples differ in how they implement the recent price-gain condition.

Tags

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