Combining Stock Volatility, Recent Gains, and Company Type in a Screen

Summary

This proposed Chinese equity screen combines a price-movement filter, evidence of a large daily gain during the previous 25 trading days, and a selected company type. The intended logic is to find volatile stocks with a history of strong short-term performance, then narrow the universe by an investor-defined corporate classification. The author recommends supplementing these conditions with valuation, earnings growth, other technical measures, and market or industry context.

The article flags subjectivity in choosing company types and warns that omitted fundamentals or technical indicators may leave risks and upside potential unexamined. Its examples are incomplete: the company-type and additional-filter conditions are placeholders, while the sample calculation uses a range-versus-ATR condition and a one-day absolute return threshold. It does not implement the stated rolling 25-day test or specify how company nature is measured. No backtest or performance evidence is given, so the proposal should be treated as an outline requiring precise definitions and validation.

Key ideas

• The intended screen combines volatility, at least one large daily gain within 25 trading days, and a chosen company type.
• The company-type filter is subjective and could bias the selected universe.
• The example code does not fully implement the described 25-day lookback and leaves key filters unspecified.
• The author suggests adding valuation, earnings growth, technical measures, and market context.
• The article provides no backtest or evidence of strategy performance.

Tags

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