Chinese Stock Screening with Price Amplitude, Trading Value, and Three Down Days

Summary

This Chinese A-share screening rule selects stocks whose price amplitude exceeds 1, whose previous-day turnover value is above 60 million, and that have recorded three consecutive declining sessions. The document frames the filters as combining price movement, market activity, and recent price direction. It also gives a Python example intended to apply these conditions to historical stock data.

The note cautions that the screen omits company fundamentals and that a three-day decline alone says little about a stock’s longer-term direction. It suggests adding fundamental measures and other technical indicators. No backtest results or performance evidence are provided, so the material describes a candidate screening rule rather than a validated strategy. The accompanying code’s definitions and calculations do not clearly match all the stated conditions, which limits its value as an implementation guide.

Key ideas

• The screen combines an amplitude threshold, a minimum previous-day trading value, and three consecutive declining sessions.
• It treats price movement and turnover as measures of activity, while the declining sessions describe recent direction.
• The document warns that the rule excludes company fundamentals and that three down days do not establish a long-term trend.
• No performance test is presented, and the sample code may not faithfully implement the written criteria.

Tags

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