Chinese Stock Screen for Volatility, Daily Declines, and Recent Gains

Summary

This document describes a short-term Chinese equity screening rule using three filters: daily amplitude above 1, a current-day decline between 4% and 5%, and a positive recent return below an upper bound. The heading specifies a 10-day gain below 3%, while the body and example code use a ceiling of 35%; the intended threshold is therefore inconsistent. The example implementation compares the latest close with a 10-day average, which also differs from a straightforward 10-day return calculation.

The author presents the screen as a way to find volatile stocks that have recently risen but have fallen sharply on the current day, and suggests considering chart patterns, volume, fund flows, sentiment, and stop controls as additions. No backtest, sample period, benchmark, or performance results are provided. The document warns that relying on short-term price filters alone omits fundamentals and longer-term direction, and that changing volatility can make results unstable. The code and formula are references requiring validation before use.

Key ideas

• The screen combines daily amplitude, a sharp current-day decline, and a positive recent price filter.
• The stated recent-gain ceiling conflicts between the heading and the body.
• The formula and sample code use a close-to-moving-average comparison rather than an unambiguous 10-day return.
• The document provides no performance test or evidence that the filters predict returns.
• It suggests adding other market information and risk controls, while warning about short-term signal instability.

Tags

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