Screening Chinese Stocks by Intraday Range and Relative Volume

Summary

This post presents a short-term Chinese stock screen based on a daily price range of at least 1%, relative volume between 1.5 and 6, and exclusion of stocks that hit the upper price limit the previous day. Its stated rationale is to find actively traded stocks while avoiding both unusually quiet names and recent limit-up stocks that may be overextended. The post also notes that the rule is simple and may select low-quality companies, while excluding some candidates that could continue rising.

Formula and Python examples are included, but the Python logic uses minute data and volume comparisons that do not clearly implement the written relative-volume and prior-day limit-up conditions. The post offers no backtest, performance evidence, or detailed risk controls. It recommends combining technical and fundamental filters and considering sector or industry context, but does not specify how to do so. Treat the screen as an unvalidated selection heuristic rather than a complete trading strategy.

Key ideas

• The screen requires a price range of at least 1% and relative volume from 1.5 to 6.
• It excludes stocks that reached the upper price limit the previous day.
• The stated aim is to find active stocks while filtering out recent limit-up names.
• The post warns that a simple screen can select low-quality stocks and miss further risers.
• Its examples do not clearly align with the written criteria, and no backtest results are provided.

Tags

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