A Chinese Stock Screen for Volatility, 10-Day Average Proximity, and Prior Limit-Down

Summary

This document presents a Chinese-equity screening idea intended to find stocks that may rebound after a constrained prior session. The conditions combine prior-day amplitude above 1%, an opening price near the 10-day moving average, and a prior-day 9:15 matched price described as limit-down. The accompanying explanation interprets high amplitude as elevated short-term volatility and proximity to the moving average as a possible adjustment phase.

The post warns that the screen omits company fundamentals, may select unstable names, and is considered suitable only when the broad market is rising. It suggests adding fundamental and technical filters. The code examples are inconsistent about how the 9:15 condition is represented, and the document provides no backtest, outcome data, or precise definition of “near” beyond an example range, so the screen should be treated as an unvalidated hypothesis.

Key ideas

• The screen combines elevated prior-day amplitude, an opening price near the 10-day average, and a prior-session limit-down condition.
• Its rationale is to identify volatile stocks in an adjustment phase that might rebound.
• The source cautions that the method ignores fundamentals and may fail in a falling market.
• The examples do not consistently operationalize the 9:15 matched-price condition, and no performance evidence is supplied.

Tags

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