A Chinese Stock Screen Using Price Range and Relative Volume

Summary

This post describes a short-term Chinese equity screen based on daily price movement and trading activity. It selects stocks with a price range of at least 1% relative to the low, volume between 1.5 and 6 times its five-day average, and a large open-to-close move with the close below the open. The author presents the volume ratio as a way to find active trading without extremely elevated volume, and frames the range condition as a way to find stocks with larger price swings.

The post includes indicator-formula and Python examples, but it does not report historical returns, transaction costs, or a backtest. Its explanation of the final candle condition is not fully consistent: it describes a reversal-style pattern, while the listed conditions require a down day. The author also notes that a technical screen may overlook financial health and may select smaller, less liquid stocks, which can make execution difficult. Suggested additions include valuation and profitability measures, with historical testing to assess any revised rules.

Key ideas

• The screen combines a minimum daily range with volume relative to its five-day average.
• It also requires a sizable open-to-close decline, despite describing the pattern as a reversal.
• The post supplies implementation examples but no backtest or performance evidence.
• Technical-only selection can miss company financial risks and may produce illiquid holdings.
• The author suggests adding fundamental filters and testing revisions on historical data.

Tags

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