Chinese Stock Screening with Amplitude, Turnover, Volume, and Gap Filters

Summary

The document describes a short-term Chinese stock screen combining price range, recent trading activity, current volume, and a positive opening gap. Its stated criteria are amplitude above one, previous-day actual turnover between 3% and 28%, current volume above 10,000 lots, and an opening above the prior close. The rationale is that a large range and active trading identify moving stocks, while a higher open may reflect buying interest. The examples also show a gap threshold of 2% and express amplitude as the high-low range divided by the open.

No performance results or backtest evidence are supplied. The article cautions that the screen uses short-term technical conditions and omits company and industry fundamentals; an opening gap can fade. Its example formulas also appear to differ from the prose: the turnover calculation uses a volume ratio rather than an explicit turnover rate, and an amplitude threshold of one may represent a full 100% range depending on units. The method is therefore a rough screening recipe whose definitions and data handling need checking before use.

Key ideas

• The screen combines amplitude, previous-day turnover, current volume, and an opening gap.
• The stated turnover band is 3% to 28%, and current volume must exceed 10,000 lots.
• The code example uses a 2% opening-gap threshold and defines amplitude relative to the open.
• The document provides no evidence of profitability or tested performance.
• An opening gap can reverse, and the strategy excludes fundamental information.

Tags

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