Chinese Stock Screening with Amplitude, Volume Ratio, and Market Control

Summary

This Chinese A-share screening note combines daily price amplitude, relative trading volume, a proxy for prior-day main-force control, and a market-cap ceiling. Its stated final conditions require amplitude of at least 1%, a volume ratio between 1.5 and 6, the prior-day control proxy, and market value below 10 billion yuan. The article also provides sample formulas and Python-style code to illustrate screening.

The rationale is to find stocks with noticeable price movement and active but not extreme volume, while using the control proxy as a clue about large-player activity. The author cautions that this proxy may be inaccurate and that relying on a small set of signals can produce false positives. The note gives no backtest, return data, or validation of the proxy, and its sample code and descriptions may not align perfectly with the stated conditions. It recommends combining technical and fundamental measures and managing position risk.

Key ideas

• The screen combines price amplitude, a relative volume band, a prior-day control proxy, and a market-cap limit.
• The volume ratio is intended to identify active trading while avoiding unusually extreme volume.
• The prior-day control measure is presented as an imperfect indicator of large-player activity.
• The author warns that a single screening rule can produce misleading selections.
• No backtest or performance evidence is supplied.

Tags

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