Chinese Stock Screening with Volatility, Recent Gains, and Opening Moves

Summary

This Chinese equity screening proposal combines three conditions: amplitude above 1, at least one daily gain of 10% or more during the previous 25 trading days, and an opening auction move between -2% and 5%. The post frames the first two as ways to find volatile stocks with recent upward moves and the auction range as a measure of current activity. It includes illustrative formula and Python snippets that express these filters, while leaving the proposed fundamental and risk filters as placeholders.

The author warns that the screen is simple, can miss important factors, and may stop working as market conditions change. Suggested additions include valuation and dividend measures, plus risk limits such as beta or Sharpe ratio; these are recommendations rather than implemented or evaluated parts of the example. No backtest, return statistics, or evidence of predictive value is presented. The listed thresholds describe the proposed screen, not demonstrated profitable entry rules.

Key ideas

• The screen requires amplitude above 1, a daily gain of at least 10% within 25 trading days, and an opening move from -2% to 5%.
• The post presents these conditions as filters for volatility, recent price strength, and opening activity.
• Example formulas leave fundamental and risk controls as unimplemented placeholders.
• The author recommends adding valuation, dividend, and risk measures for broader assessment.
• No backtest or performance evidence is supplied, and the author cautions that market changes may weaken the screen.

Tags

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