A Chinese Stock Screen for Range, Ten-Day Gains, and Three Down Days

Summary

This document describes a Chinese equities screening rule using three conditions: daily high-to-low amplitude above one percent of the open, a positive but less than 35% gain over ten days, and three consecutive sessions in which the close is below the open. The intended rationale is to find stocks with notable movement and moderate recent gains that have pulled back for a possible rebound. A Python example filters price data to implement these criteria.

The screen is a simple technical selection rule, not a complete entry, exit, or portfolio strategy. The article warns that it ignores company fundamentals and other influences, and that a three-session decline may not reliably signal a rebound. It suggests combining the screen with additional technical or fundamental measures. No backtest results, transaction assumptions, or evidence of profitability are presented. The code’s consecutive-day comparisons are based on open and close, so the rule identifies down sessions rather than necessarily requiring three lower closing prices.

Key ideas

• The screen requires daily high-to-low amplitude above one percent of the opening price.
• It selects stocks with positive ten-day returns below 35% and three consecutive sessions closing below their opens.
• The article frames recent declines as a possible rebound setup, not a guaranteed reversal.
• The rule omits fundamentals and other factors that can affect prices.
• No backtest or profitability evidence is provided, and the consecutive-session condition needs careful interpretation.

Tags

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