Screening Chinese Stocks by Amplitude, Dragon Tiger List Activity, and Turnover

Summary

This note describes a daily stock screen combining prior-day price amplitude, appearance on the Dragon Tiger List, and trading turnover above a stated threshold. The rationale is that larger price swings may signal opportunity, Dragon Tiger List activity may reflect notable capital flows, and sufficient turnover may indicate liquidity. Example indicator logic and Python-style selection steps are included to illustrate how the conditions can be combined and ranked.

The document provides no performance results or backtest evidence. It cautions that list inclusion can coincide with speculative swings, turnover figures may be misleading, and simulated results may differ from live trading. It suggests adding valuation, market capitalization, fundamentals, and broader analysis, while warning against relying too heavily on short-term market attention. The screen is a simple candidate filter; it does not specify portfolio construction, entry and exit rules, or risk controls.

Key ideas

• The screen selects stocks using prior-day amplitude, Dragon Tiger List presence, and turnover above a threshold.
• The note treats volatility and list activity as possible opportunity signals, while turnover serves as a liquidity filter.
• The examples show how to intersect the three conditions and sort the resulting candidates.
• The document reports no backtest evidence and flags speculation, data quality, and live-versus-simulated performance risks.
• Fundamental and market context could supplement the short-term signals.

Tags

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