Chinese Stock Screen for Large Intraday Declines, High Volume, and a Gap Up

Summary

This Chinese equity screening proposal looks for stocks with an intraday amplitude above 1, a largest daily decline between 4% and 5% down, current volume above 10,000 lots, and an opening price higher than the prior close. The author frames amplitude as a measure of volatility and the sharp decline as a possible reversal signal; volume and a higher open are intended to indicate attention and active sentiment.

The document includes indicator and Python examples, but the examples do not perfectly match the prose: the Python condition compares the open with the previous session's high rather than the prior close, and the listed percentage-change bounds are ordered inconsistently. It reports no test results. The author cautions that rare price patterns and reliance on technical data alone can lead to poor selections, and recommends considering market conditions, industry themes, and fundamentals alongside the screen.

Key ideas

• The screen combines amplitude above 1 with a daily decline between 4% and 5% and volume above 10,000 lots.
• A higher open is included as a sign of active interest after the decline.
• The proposed reversal interpretation is not supported by reported performance evidence.
• The example implementations contain inconsistencies with the written conditions.
• The author recommends adding broader market, industry, and fundamental context.

Tags

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