A Chinese Stock Screen for Fixed Price and Intraday Drawdown

Summary

The article describes a short-term A-share screening rule that combines price range, closing price, and the session’s low relative to the previous close. Its initial version calls for amplitude above one percent, a close at 18.5 yuan, and a maximum decline between four and five percent. It then proposes a revised rule with amplitude between 0.5 and one percent and a decline between three and five percent, while retaining the same price condition. These differing specifications make the intended final screen somewhat ambiguous.

The article provides example formula logic and Python-style implementation guidance, but no backtest results or evidence that the screen predicts returns. It frames the screen as seeking stocks with a short-term pullback and moderate volatility, and cautions that it omits fundamentals and valuation. It suggests adding company, industry, and market context, and adjusting thresholds to conditions. The exact-price filter and narrow intraday thresholds may also sharply constrain selections; the document does not assess that effect or address execution costs.

Key ideas

• The initial screen combines amplitude, an 18.5-yuan closing price, and a session low four to five percent below the previous close.
• A later proposed version changes both the amplitude and drawdown ranges, leaving the final specification unclear.
• The article offers formula and implementation examples but reports no backtest evidence.
• The author notes that fundamentals, valuation, industry, and broader market context are absent.
• The thresholds may need adjustment, but the document does not test alternatives.

Tags

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