Chinese Stock Screening with Volatility, Recent Gains, and Dragon-Tiger List Activity

Summary

This Chinese A-share screening idea combines a daily range condition, a recent price-gain condition, and inclusion on the previous day’s Dragon-Tiger list, a market-activity ranking. The accompanying indicator example approximates the range filter with a comparison to 20-period ATR and checks for a daily return of at least 10%; the Python example also uses volume to order candidates. The stated intent is to find stocks with short-term activity and potential momentum.

The document warns that these short-term signals can overlook company fundamentals and longer-term performance. Dragon-Tiger list data may be misidentified, and market sentiment can change quickly. It recommends checking company quality, validating the list data, and diversifying holdings. The examples do not provide historical performance, a complete testing process, or a precise definition for the title’s amplitude threshold; the indicator formula’s range-versus-ATR condition also differs from a simple amplitude cutoff. Treat the selection rules as a screening proposal, not evidence of profitability.

Key ideas

• The screen combines a daily price-range condition with a recent large gain and prior-day Dragon-Tiger list inclusion.
• The indicator example compares the high-low range with 20-period ATR.
• The Python example uses trading volume to rank selected stocks.
• The author identifies weak fundamental coverage and volatile sentiment as key limitations.
• Validation of list data and portfolio diversification are suggested mitigations.

Tags

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