Chinese Stock Screen Using Volatility and Recent Price Gains

Summary

The post describes a Chinese equity screen requiring daily amplitude above 1%, a positive 10-day return below 35%, and at least one daily gain of 10% or more during the preceding 25 trading days. It frames these conditions as a way to find volatile stocks with recent upward movement. Example indicator and Python implementations are included, with the code also applying additional price and moving-average filters.

The author warns that a short-term technical screen can produce unreliable signals and overlooks company fundamentals, industry conditions, and broader market risk. Suggested refinements include adding financial analysis and other indicators, accounting for industry themes, and using stop losses and risk controls. The post offers no backtest, return data, or validation showing that the screen predicts future performance; its conditions should therefore be treated as a screening proposal rather than evidence of an effective strategy.

Key ideas

• The screen combines volatility, a bounded 10-day gain, and a recent large up day.
• The example code adds price-action and moving-average conditions beyond the stated screening rules.
• The author identifies missing fundamentals and exposure to industry and market risks.
• Additional indicators and explicit risk controls are proposed, but no performance validation is reported.

Tags

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