Chinese Stock Screen Using Range, Ten-Day Return, Volume, and Gap-Up

Summary

This post presents a Chinese equity screening rule built from four conditions: daily amplitude above 1%, a positive ten-day return below 35%, current volume above 10,000 lots, and an opening price above the prior close. It interprets the range as a sign of volatility, the bounded return as a way to avoid the strongest recent run-ups, volume as evidence of trading interest, and the gap-up as a favorable market view. It also gives equivalent indicator and Python examples, with results ranked by a heat measure.

The post does not report a backtest, portfolio returns, transaction costs, or a comparison with a benchmark. It explicitly cautions that technical filters alone can miss company fundamentals and that news can cause unusual price moves. It recommends adding fundamental and sentiment information, but supplies no tested method for doing so. The screen is therefore a candidate selection recipe rather than a validated trading strategy; the post provides no entry sizing, exit rules, or risk controls.

Key ideas

• The screen combines daily price range, ten-day return, trading volume, and an opening gap.
• The ten-day return filter selects stocks with gains while excluding returns at or above the stated ceiling.
• The post treats volume as a proxy for trading demand and a gap-up as a sign of market optimism.
• The author cautions that technical filters omit fundamentals and can be disrupted by news.
• No empirical performance results or complete entry and exit plan are provided.

Tags

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