Chinese Stock Screening with Volatility, Turnover, and Intraday Drawdown

Summary

This document describes a short-term Chinese equities screen using price range, turnover, auction volume, and intraday losses. It selects stocks with amplitude above 1, a product of yesterday’s turnover rate and today’s auction volume relative to yesterday’s volume between 0.5 and 2, and a maximum daily decline between 4% and 5%. The accompanying Python example approximates these conditions with daily data and a rolling volume comparison.

The article characterizes the approach as technically driven and speculative, warning that it overlooks company fundamentals and may select risky stocks. It suggests adding valuation, profitability, growth, and other market indicators, though it provides no tested results showing that these additions improve performance. The code’s daily volume ratio is based on a five-day rolling average, which differs from the stated auction-volume ratio, and its drawdown calculation is expressed as a positive loss percentage despite the stated negative interval. These details limit how directly the example implements the described screen.

Key ideas

• The screen combines price amplitude, turnover adjusted by relative auction volume, and a specified intraday drawdown range.
• The stated objective is short-term technical stock selection rather than a full company assessment.
• The article warns that technical filters can miss fundamental risks.
• The sample code uses a rolling volume comparison, which does not exactly match the stated auction-volume condition.

Tags

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