Chinese Stock Screen for Volatility, Prior Limit-Down Matching, and Positive Return

Summary

This document presents a short-term Chinese equity screening rule combining three conditions: amplitude above a threshold, a prior-day 9:15 matching price associated with a limit-down move, and positive return over the preceding close-to-close interval. It provides a verbal rationale that the amplitude condition selects volatile shares, the matching-price condition reflects weak sentiment, and the return condition indicates recent price strength. A sample implementation is described as sorting qualifying names by popularity and returning a small set.

The material explains the rule but provides no historical performance, benchmark comparison, transaction-cost model, or evidence that the conditions predict future returns. Its code references platform-specific functions and data fields, so the expression may require adaptation and validation before use. The document itself cautions that the screen omits fundamentals and may be exposed to market and operational risks; it also recommends testing reliability and avoiding overfitting when adding variables.

Key ideas

• The screen combines high amplitude, a prior-day 9:15 limit-down matching condition, and positive recent return.
• The author interprets the conditions as a blend of volatility, weak sentiment, and short-term price strength.
• A sample workflow ranks selected stocks by a popularity field.
• The document provides no backtest evidence or transaction-cost analysis.
• Platform-specific formulas and data fields require verification before implementation.

Tags

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