A Volatility and Momentum Screen for Chinese Stocks

Summary

This post proposes a technical screen for Chinese equities that seeks high-amplitude, non-ST stocks before 10 a.m. It combines a five-day closing-price high with a rising-market filter based on short and longer moving averages and a MACD-style momentum measure. The intended idea is to find volatile stocks showing a possible upward move while avoiding specially treated companies. The post describes the market-trend condition as a way to judge whether stocks are participating in an advance, but supplies no backtest or performance evidence.

The author warns that fast market changes can make the screen select unsuitable stocks, and that the notion of a main upward move is subjective. Suggested improvements include adding fundamental data, valuation, volume, and stricter rules for assessing the broad market trend. The example calculation gives one possible operationalization, but the meaning of the named limit-up method is not fully specified, and the sample conditions may not capture the claimed intraday timing. Treat it as an illustrative screening idea rather than a validated strategy.

Key ideas

• The screen combines high price amplitude and non-ST status with a five-day price-high condition.
• A moving-average and MACD-style filter is used to represent upward momentum.
• The stated aim is to identify volatile stocks participating in a broader rising market.
• The post reports no performance evidence and notes risks from rapid market changes and subjective trend rules.
• Fundamental, valuation, volume, and more rigorous market-trend measures are suggested as additions.

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