A Chinese Stock Screen Using Range and Recent Returns

Summary

This post describes a Chinese equity screen that selects stocks using three price conditions: daily amplitude above 1%, a positive but less than 35% return over ten days, and a price move below 6% at the 9:25 reference point. It explains amplitude as a proxy for movement and risk, while the ten-day return band is intended to avoid stocks that have already risen sharply. The post also provides example implementations and suggests ranking selected stocks by popularity.

The author cautions that a single time-specific observation can be misleading and that these price filters do not establish that a stock has attractive prospects. Suggested refinements include measuring returns across a time interval and adding industry, financial, or fundamental data. No backtest results or evidence of profitability are provided, and the example code has an apparent price-equality filter that may not match the stated screening logic.

Key ideas

• The screen combines a daily amplitude threshold with a bounded ten-day return and a 9:25 price-move constraint.
• The author treats amplitude as an indicator of volatility and potential risk.
• A single time-point filter may be distorted by intraday price fluctuations.
• The post recommends combining price conditions with industry, financial, or fundamental information.
• The document provides no performance evaluation for the screening rules.

Tags

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