Chinese Stock Screening by Volatility, Dragon-Tiger Flows, and Volume Growth
Summary
This note outlines a short-term Chinese stock screen using three signals: price amplitude above 1%, appearance on the previous day’s Dragon-Tiger list with buying value greater than selling value, and a current-day volume increase above 5%. It describes these as ways to find volatile stocks with signs of capital inflow and buying interest. The article also proposes extending the volume measure to a five-day window and adding moving averages or MACD for broader confirmation.
It provides formula and Python examples, plus a risk discussion: the daily increase measure may overlook selling, and results may depend heavily on the chosen time window. The examples do not establish profitability or report backtest results. There are also implementation inconsistencies: the final screen mentions a five-day increase and technical indicators, while the sample calculations use a one-day volume change and do not include those indicators. The material is best read as a screening idea that requires precise definitions and independent testing.
Key ideas
- The proposed screen combines price amplitude above 1% with prior-day Dragon-Tiger list buying value greater than selling value.
- It also looks for a current-day volume increase above 5%, though the final suggested logic refers to a five-day window.
- Moving averages and MACD are suggested as additional filters.
- The article warns that a one-day increase measure may ignore selling activity and that results can vary by time window.
- The examples provide no evidence of tested performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.