A Chinese Stock Screen for High Amplitude and Lower Lows

Summary

This stock-selection example screens for shares whose current low is below the previous session's low and whose intraday high-to-low range exceeds a stated threshold. It also refers to a 2021 data condition. The accompanying Python example loops through a stock universe and illustrates adding RSI and company measures such as profitability, assets, price-to-book, and price-to-earnings before sorting candidates by assets.

The post interprets the price filters as a way to find volatile stocks that may rebound, but offers no backtest, sample results, or evidence that the conditions predict returns. It notes that short-term price measures can omit longer-term prospects and recommends adding fundamental and trend measures. The example's date handling and screening logic are not fully consistent across its prose and code, so the criteria need careful validation before use. It is a screening template rather than a defined trading system with entry, exit, and risk rules.

Key ideas

• The core screen looks for a current low below the prior low and an intraday range above its threshold.
• The example adds company fundamentals and RSI as possible secondary filters.
• The post proposes a rebound interpretation, but gives no performance evidence to support it.
• Short-term price filters can overlook company fundamentals and longer-term trends.
• The stated date condition and sample code should be reconciled before implementation.

Tags

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