Chinese Stock Screen for High Volatility, Volume, and Moderate Price Moves

Summary

The document describes a daily equity screen intended to find active stocks with a positive opening and a bounded price move. Its stated filters are amplitude above one, current volume above ten thousand lots, an open above the previous close, and percentage change between minus five and 2.6. The accompanying discussion frames these conditions as a technical way to seek volatile, liquid stocks with potential upside. A sample implementation also screens listed shares and excludes some names using market-capitalization and data-availability checks, though it does not fully reproduce every stated filter.

The post cautions that the basic screen ignores company fundamentals and may miss price movement during the auction and after the midday opening. It suggests adding moving averages, MACD, valuation and profitability measures, and intraday indicators. No historical backtest, execution assumptions, or performance evidence is supplied, so the proposed upside and improved accuracy remain unverified. The content is a screening recipe with suggested extensions, not a validated trading system.

Key ideas

• The screen combines amplitude, current trading volume, opening gap, and a bounded daily percentage move.
• It aims to identify liquid, volatile stocks while excluding outsized declines and gains.
• The sample implementation also applies basic listing, data-history, and market-capitalization checks.
• The author notes that the screen omits fundamentals and intraday auction and midday price behavior.
• No backtest or measured performance is provided to establish that the filters improve returns.

Tags

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