Combining Chinese Stock Volatility, Trading-Board Flows, and Rising DEA

Summary

This note proposes a short-term Chinese equity screen that selects stocks with a price amplitude above one, an appearance on the prior day's trading list with buying greater than selling, and a rising DEA indicator. The rationale is to combine elevated activity, net buying by reported trading-list participants, and improving technical momentum. The document gives formula-style and Python examples for calculating amplitude, checking the buying and selling amounts, and comparing DEA with its previous value; the Python example also restricts DEA to values below zero.

The author cautions that this approach relies on short-term flow and technical data, leaving company fundamentals and broader market risk underrepresented. Suggested improvements include adding fundamental and industry factors, and constraining the DEA condition or combining it with other indicators. No performance results or validation statistics are provided, and the examples differ in their precise treatment of amplitude and DEA. The strategy should therefore be treated as a screening hypothesis whose definitions, data timing, and robustness require testing.

Key ideas

• The screen combines price amplitude above one, net buying on the prior trading list, and rising DEA.
• The proposed rationale links elevated activity and buying pressure with improving short-term momentum.
• The note recommends adding company fundamentals and industry context to reduce reliance on short-term signals.
• The formula and Python examples differ in details, including the Python condition that DEA remains below zero.
• No backtest evidence is supplied, so the screening rules need validation before practical use.

Tags

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