Chinese Stock Screen Using Daily Range, Control, and New Lows

Summary

This Chinese equity screening note starts with three conditions: daily amplitude above a threshold, a control indicator above a threshold, and the current low below the prior day's low. It then proposes adding valuation and profitability filters, specifically a price-to-book ratio below the market average and positive year-over-year growth in main business revenue. The examples describe combining these conditions into a selector and ranking the resulting stocks.

The note frames the screen as a short-term search for volatile candidates, while warning that technical signals can change quickly, the approach is speculative, and it does not initially account for company fundamentals. The proposed additions address some of those gaps, but the document gives no backtest, performance evidence, precise definition of the control metric, or detailed rules for timing and execution. Its code examples also appear inconsistent with the prose in places, so the strategy should be treated as an illustrative screen rather than a validated system.

Key ideas

• The initial screen combines elevated daily amplitude, a control indicator threshold, and a new low versus the prior session.
• The proposed version adds below-market-average price-to-book and positive business revenue growth filters.
• The article presents the screen as a short-term candidate finder and warns about volatility and speculative risk.
• No performance results or validation are provided, and some example formulas may not match the written criteria.

Tags

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