Screening A-Shares for Volatility and Recent Large Daily Gains

Summary

This post describes a Chinese A-share stock screen based on three conditions: price amplitude above one percent, a nonempty name for an outstanding convertible bond, and at least one daily gain of ten percent or more during the previous 25 trading days. It presents the screen as a way to find volatile stocks that have recently experienced a sharp upward move. The post also includes indicator-formula and Python examples for implementing the criteria and sorting selected stocks by market capitalization.

The author warns that selecting on recent large gains can lead to chasing prices while neglecting company fundamentals. Suggested refinements include adding valuation or other fundamental measures and considering multi-day returns or additional trend indicators. The text does not provide backtest results or establish that the filter predicts future returns; its examples also differ in implementation details, so users should verify data fields and calculations before relying on them.

Key ideas

• The screen selects stocks with price amplitude above one percent and at least one daily gain of ten percent or more in the previous 25 trading days.
• It also requires a nonempty outstanding convertible bond name.
• The examples show implementations using both indicator formulas and market data in Python.
• The author identifies chasing recent winners and overlooking fundamentals as risks.
• Possible refinements include adding fundamental filters and considering multi-day return or trend measures.

Tags

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