Chinese Stock Screen Using Daily Drawdown and Bollinger Bands

Summary

This Chinese stock-selection note describes a daily screen that looks for shares with an amplitude above 1, a largest daily decline between 4% and 5%, and a close below the Bollinger upper band but above its middle band. It frames amplitude and the decline as signs of price volatility, while the Bollinger position is presented as a possible mean-reversion or trend clue. The note includes indicator conditions and illustrative code, but reports no backtest, performance data, or evidence that the screen predicts returns.

The author cautions that the rules omit company fundamentals, industry characteristics, and policy effects. Bollinger results also depend on settings such as the lookback period and deviation multiplier, which are not fully specified in the selection description. Suggested refinements include combining other price indicators with company performance and industry analysis. The code is explicitly illustrative and may need adjustment; the screen should therefore be treated as a candidate-generation rule rather than a validated trading strategy.

Key ideas

• The screen combines a daily amplitude threshold with a decline range of 4% to 5%.
• It selects closes between the Bollinger middle and upper bands.
• The note suggests volatility and possible mean-reversion behavior as motivations for the screen.
• It warns that fundamentals, industry conditions, policy changes, and Bollinger settings may affect selections.
• No performance evidence is provided, and the example implementation may require adjustment.

Tags

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