Filtering Chinese Stocks by Volatility, Float Size, and Opening Gap

Summary

This note describes a short-term Chinese stock screen combining prior-session amplitude above 1%, a free float no larger than 5.5 billion shares, and an opening increase below 6% at 9:25. It presents the conditions as a way to find volatile, relatively small-cap stocks with room for near-term price adjustment. The examples compute amplitude from the previous session’s high, low, and close, and compare the open with the previous close. A sample implementation also ranks qualifying stocks by turnover rate and keeps a fraction of the universe.

The document warns that market moves and company-specific events can undermine the screen, that technical filters can admit weak businesses, and that short-horizon signals are vulnerable to noise. It suggests adding fundamental measures such as return on equity and profit growth, plus liquidity measures such as average turnover. No backtest, performance data, or evidence that the proposed filters predict returns is provided; the intended interpretation of the 9:25 condition and the exact ranking procedure may also depend on the data source and implementation.

Key ideas

• The screen combines prior-session amplitude above 1%, free float at or below 5.5 billion shares, and an opening gain below 6%.
• The stated rationale is to target volatile, smaller-cap stocks with potential for short-term price adjustment.
• The sample selection process ranks qualifying stocks by turnover rate and retains a subset.
• The author recommends adding fundamental and liquidity measures to address weaknesses in short-term technical filters.
• The note provides no backtest evidence, and its signals remain exposed to market, company, and noise risks.

Tags

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