A Chinese Stock Screen for Volatility, Moving-Average Proximity, and Sharp Drops

Summary

This document describes a short-term stock screen combining three conditions: daily amplitude above 1%, an opening price within roughly 5% of the 10-day moving average, and a stated maximum decline between 4% and 5%. It frames the setup as a search for volatile stocks in a pullback that might rebound. The article also sketches indicator logic and example implementations, but those examples do not establish that the screen has predictive value.

The author cautions that a temporary correction can still bring losses, especially if the market moves quickly. The suggested refinements are to combine additional indicators and favor companies with stronger fundamentals near a perceived bottom. The document provides no backtest, performance statistics, or evidence that these filters identify rebounds reliably. Its formula examples also leave some ambiguity about how the intraday maximum decline is calculated, so the screen's precise behavior may depend on implementation.

Key ideas

• The screen selects stocks with amplitude above 1%, an opening price near the 10-day moving average, and a stated decline between 4% and 5%.
• The proposed rationale is that volatile pullbacks may have rebound potential, but the document supplies no performance evidence.
• The author recommends combining the price filters with other indicators and considering company fundamentals.
• Rapid market changes and continued declines can make the setup risky.

Tags

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