A Chinese Stock Screen Using Opening Gain, Daily Drawdown, and Volume Ratio

Summary

The post describes a China A-share screening rule that ranks stocks by volume ratio, keeps the top 100, filters for a daily decline between 4% and 5%, and requires the opening gain to be below 6%. It presents these conditions as a way to find stocks with relatively strong trading activity alongside a sharp decline and a limited opening rise.

The author cautions that these filters do not reveal intrinsic value or predict future returns, and recommends combining them with technical or fundamental analysis. The post also suggests using the rules in an automated strategy, but provides no performance evidence or evaluation of trading costs and risk. Its sample code is incomplete and appears not to implement the described volume ratio calculation reliably, so the screening logic is clearer than the code example.

Key ideas

• The screen ranks stocks by volume ratio and selects the top 100.
• It filters for a daily decline between 4% and 5% and an opening gain below 6%.
• The author recommends combining the filters with other analysis methods.
• The post provides no performance evidence, and its code example is incomplete.

Tags

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