A Chinese Stock Screen Using Volatility, Control, Volume, and Gap-Up

Summary

This document proposes a short-term Chinese stock screen combining daily amplitude above 1, a controlling-shareholder measure above 21%, trading volume above 10,000 lots, and an opening price above the prior close. It frames these conditions as signals of price movement, shareholder control, trading activity, and market sentiment, and provides example selector logic and a ranking step. It also suggests adding technical indicators, company fundamentals, and broader market conditions to refine the selection.

The document identifies risks from relying on short-term price moves, gap-up openings, or volume alone, since these can miss other influences and may be affected by unexpected events. It supplies no backtest, return data, or evidence that the screen is profitable. The examples also need careful implementation: the Python version uses the absolute value of the shareholder-change field, while the stated rule is a one-sided threshold, and the threshold units and data definitions should be checked against the chosen platform.

Key ideas

• The proposed screen combines daily amplitude, a controlling-shareholder measure, volume, and a gap-up opening condition.
• It suggests ranking qualifying stocks by a market heat measure.
• The document recommends considering technical indicators, fundamentals, and broad market conditions as additional filters.
• Short-term moves, gap-up prices, and volume can be misleading when used in isolation.
• No backtest or performance evidence is supplied, and example implementations may interpret criteria differently.

Tags

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