Chinese Stock Screen Using Volatility, Recent Gains, and Bollinger Bands

Summary

This post proposes a Chinese equity screen combining price movement and Bollinger Band position. It selects stocks with a daily high-to-low range above a volatility threshold, at least one daily gain of 10% or more during the previous 25 trading days, and a close between the Bollinger middle and upper bands. The accompanying discussion interprets these conditions as seeking volatile stocks that have recently shown strong upward movement while remaining within an upper-band region.

The post flags several limitations: its short observation window may miss longer-term trends and company fundamentals, it omits trading volume, and its restrictive conditions may leave few candidates. It recommends adding fundamental measures and a combined volatility-volume measure, while adjusting criteria to broaden selection. However, the suggested fundamental and volume conditions are placeholders, not operationally specified filters. The formula examples also do not clearly implement the stated 25-day lookback or all the proposed conditions, and no backtest, return data, or validation is presented.

Key ideas

• The proposed screen combines a large daily price range, a recent large daily gain, and a close between Bollinger Bands.
• The lookback for the recent gain is 25 trading days.
• The author identifies short-term focus, missing volume and fundamentals, and strict criteria as limitations.
• Suggested fundamental and volume filters are placeholders without defined calculations.
• The post reports no backtest or evidence of trading performance.

Tags

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