A Volatility and Momentum Screen with Fundamental Filters for Chinese Stocks

Summary

This Chinese stock-selection method seeks volatile shares that have recently shown strong price movement. Its initial rules look for daily high-low range greater than a 20-period ATR, a single-day move of at least 10% within the past 25 trading days, and a positive recent return. A proposed refined version adds a price-to-book ratio below the industry average and positive recent year-over-year net profit growth, then ranks qualifying names by a heat measure.

The document argues that the filters may capture active, fast-rising stocks, while warning that they emphasize short-term moves and historical data. Risks include ignoring intrinsic value, becoming trapped after a reversal, and sample bias. Suggested safeguards include checking financial statements, industry conditions, medium- and long-term trends, and liquidity, and treating the screen as one input rather than a complete investment process. Code examples are included, but the document presents no backtest, performance figures, or evidence that the screening rules are profitable.

Key ideas

• The initial screen combines an ATR-based range filter, a recent large daily move, and positive return.\nThe proposed refinement adds below-industry-average price-to-book and positive earnings growth.\nThe author flags short-term focus, reversal risk, and potential sample bias.\nAdditional fundamental, trend, and liquidity checks are suggested.\nNo performance evidence is provided for the screening rules.

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