Chinese Stock Screen for High Amplitude, Auction Value, and Seven Down Days
Summary
The screen combines three conditions for Chinese stocks: amplitude greater than one, a top-five rank by the day’s auction trading value, and seven consecutive declining sessions. The accompanying rationale treats recent volatility and auction activity as signs of attention, while a long losing streak may indicate pessimism and a possible rebound setup. The article also gives example formula references and Python-like selection logic, but does not specify a complete, independently reproducible data workflow.
No backtest, returns, benchmark, or risk-adjusted results are reported, so the proposed rebound opportunity remains an interpretation rather than demonstrated evidence. The article warns that the screen omits company fundamentals and suggests considering industry conditions, technical context, funding, profitability, and growth. Auction ranking definitions, the exact meaning of the amplitude threshold, and the handling of corporate actions or suspended stocks would need clarification before implementation.
Key ideas
- The screen selects stocks with amplitude above one, a top-five auction-value rank, and seven consecutive down sessions.
- The proposed rationale is that a prolonged decline may create a rebound opportunity amid elevated activity.
- The article provides example selection logic but no backtest or performance evidence.
- Fundamental health, industry conditions, market trend, and other factors are proposed as additional checks.
- The screen’s ranking and data definitions require clarification for reliable implementation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.