Chinese Stock Screen Using Amplitude, Turnover, and Daily Declines

Summary

This note proposes screening Chinese stocks by amplitude above 1, turnover between 2% and 9%, and a daily maximum decline between 4% and 5%. The stated aim is to find active, volatile stocks that may offer rebound opportunities after a sharp drop. It includes a formula reference and a Python example intended to apply the conditions to listed shares.

The note identifies several limitations: price range and turnover can reflect broad market or policy shocks, daily maximum declines can be noisy, and the screen omits valuation and other fundamental measures. It recommends combining technical, fundamental, and sentiment analysis and managing risk. No backtest or return evidence is included. The sample code’s calculations do not clearly correspond to all stated conditions, so its output should not be taken as a faithful or validated implementation without checking the data definitions and logic.

Key ideas

• The screen selects for amplitude above 1, turnover between 2% and 9%, and daily maximum declines between 4% and 5%.
• The proposed rationale is to identify active stocks that could rebound after a large daily drop.
• The note warns that market noise and external shocks can undermine these indicators.
• Valuation, fundamentals, sentiment, and risk controls are suggested additions, but no empirical results are provided.
• The sample code may not accurately implement the stated selection rules.

Tags

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