Chinese Stock Screen Using Volatility, Price Surges, and a Weekly Trend Filter

Summary

This stock-selection idea combines three filters: daily range relative to an average true range measure, a large single-day gain within the recent 25 trading days, and a weekly moving-average crossover intended to identify a longer-term uptrend. The accompanying discussion frames the range and sharp gain as signs of volatility and momentum, while the weekly crossover acts as a trend filter. It also suggests adding company fundamentals, industry analysis, other technical indicators, and stop-loss rules.

The article presents example formulas and code references, but parts intended for fundamentals and stop losses are placeholders. The examples do not cleanly implement the stated selection logic: the range comparison differs from the plain amplitude condition, the gain test uses an absolute return, and the weekly crossover is represented through moving averages in the sample code. No backtest results or risk-adjusted performance evidence are given. The article itself cautions that a long-term crossover may lag and that price-only filters omit important company and policy factors.

Key ideas

• The proposed screen combines a range condition, a large recent daily gain, and a weekly trend crossover.
• The stated lookback for finding a large daily gain is 25 trading days.
• The article recommends considering fundamentals, industry conditions, additional indicators, and stop losses.
• Some example formulas do not exactly match the written selection rules, and several components are placeholders.
• No performance evidence is provided, and the author notes that the trend filter may lag.

Tags

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