A Stock Screen Combining Volatility, Sharp Declines, and Trade-Side Volume

Summary

This Chinese stock screen selects shares with daily amplitude above 1%, a day's low between 4% and 5% below the prior close, and an external-to-internal volume ratio above 1.3. The accompanying example estimates the decline from daily price data and derives the volume ratio from classified trade records. It also excludes some shares based on market value, valuation fields, and names before applying the screen.

The post frames the conditions as a way to combine price volatility, a sharp intraday decline, and trade-side volume. It warns that sentiment and data quality can make the signals unreliable and suggests combining them with other technical or volume indicators. The article supplies no backtest or evidence that the screen predicts returns. Its description of the volume ratio as indicating stronger selling pressure conflicts with the stated greater-than-1.3 threshold, so the intended interpretation and data convention need checking.

Key ideas

• The screen requires amplitude above 1%, a low between 4% and 5% below the previous close, and an external-to-internal volume ratio above 1.3.
• The example additionally filters shares using market value and valuation fields.
• The post describes the ratio as a measure of market activity but gives an interpretation that conflicts with its threshold.
• Market conditions and data quality are stated risks, and no performance evidence is supplied.
• Additional technical and volume indicators are proposed as possible refinements.

Tags

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