Screening Chinese Robot Stocks by Volatility, Size, Volume, and Gap

Summary

This Chinese equity screen selects robot-concept stocks with intraday amplitude above 1%, circulating market capitalization below 10 billion yuan, current volume above 10,000 lots, and an opening price above the previous close. It also proposes sorting qualifying stocks by heat, combining a volatility measure, thematic membership, size and liquidity filters, and a positive overnight gap.

The document gives both a platform-style filter outline and a Python example, but provides no backtest results or evidence that the rules are profitable. Its brief discussion flags sector, policy, and crowding risks, and suggests incorporating broader factors and weighting indicators. The stated thresholds and heat ranking are specific to the example; the document does not define the data conventions or explain how to validate the screen across market regimes.

Key ideas

• The screen requires robot-concept membership and a circulating market value below 10 billion yuan.
• It filters for amplitude above 1%, current volume above 10,000 lots, and a gap above the prior close.
• Qualifying stocks may be ranked by heat, though the document does not define that measure.
• The author notes that sector, policy, and crowded-trading risks are not captured by the core filters.
• No performance evaluation is provided.

Tags

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