A Short-Term Chinese Stock Screen for Volatility, Declines, and Position Increases

Summary

The document describes a Chinese stock selection rule using three daily conditions: amplitude above 1, the day’s maximum decline between 4% and 5%, and an increase in positions above 5%. It frames the combination as a way to find volatile stocks that have fallen sharply while also showing reported position growth, which the author suggests could indicate attention or possible rebound interest.

The accompanying Python example also filters out certain stocks using listing name, market value, price-to-book, price-to-earnings, and history length criteria. Its implementation does not exactly match the stated rule: it checks whether the daily low is below 95% of the prior close, without enforcing the stated 4% to 5% decline range, and uses the daily percentage change as a proxy for position increase. The post provides no backtest or return evidence. It warns that short-term data and potentially inaccurate position information can lead to missed opportunities or losses, and suggests additional screening and risk controls.

Key ideas

• The stated screen combines daily amplitude, a maximum decline between 4% and 5%, and position growth above 5%.
• The author interprets the combination as a possible way to find stocks attracting attention after a sharp decline.
• The sample code adds filters for stock characteristics and available history, but its decline and position-growth checks do not faithfully implement the written criteria.
• The document gives no performance evidence and flags data quality and short-term signal risks.

Tags

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