Chinese Stock Screen Using Range, Five-Bar Highs, and Volume Imbalance

Summary

This Chinese equity screening proposal selects non-ST stocks before 10 a.m. using a range threshold, a five-session closing-high condition, and an external-to-internal trading volume ratio above 1.3. It presents the setup as a way to find active shares with potential limit-up momentum. The article includes example formula logic and a Python-style workflow for filtering stock data and calculating the conditions.

The write-up warns that the screen emphasizes trading activity while omitting company financial and operating fundamentals, and that volume and order-flow measures may lose relevance as market conditions change. It suggests adding industry trends and valuation measures, then conducting empirical study and long-term monitoring. No performance results are supplied, and the code's volume ratio construction and the timing of its rolling conditions would need careful validation before use. The stated rules therefore describe a candidate screen, not established evidence of profitability.

Key ideas

• The screen excludes ST shares and requires a specified intraday range threshold.
• It uses a five-session closing high as a momentum or limit-up proxy.
• A volume imbalance ratio above 1.3 is an additional selection condition.
• The article acknowledges that trading activity can be transient and omits company fundamentals.
• It recommends empirical validation and monitoring, but provides no performance evidence.

Tags

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