A Volatility and Momentum Screen for Chinese Stocks

Summary

The document describes a stock selection screen based on three conditions: price amplitude above a threshold, at least one daily gain of 10% or more in the previous 25 trading days, and no limit-up close on the prior day. It frames these as signals of volatility and recent strength, then gives example indicator logic and code references for combining the conditions.

The discussion identifies key limitations: the screen omits company fundamentals and valuation, and its loose volatility and return filters may admit unstable or overvalued stocks. It proposes adding financial quality and valuation measures and adjusting the rules as market conditions change. The proposed final screen includes those added fundamental and valuation filters, but their definitions are not specified. No backtest, performance evidence, transaction costs, or detailed implementation rules are provided, so the document does not establish that the screen is profitable.

Key ideas

• The screen selects stocks with high amplitude, a recent large daily gain, and no limit-up close on the previous day.
• The rules aim to capture volatile stocks with recent strength.
• The screen leaves out fundamentals and valuation, which may expose it to financially weak or expensive stocks.
• The proposed refinements add financial quality and valuation criteria, but do not define their thresholds.
• The document provides no performance evidence or detailed trading and risk management rules.

Tags

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