Screening Chinese Stocks by Volatility, Dragon-Tiger Lists, and Volume Ratio

Summary

This Chinese A-share stock screen combines three conditions: prior-day price amplitude above 1%, appearance on the previous day’s Dragon-Tiger trading list, and a volume ratio above 1.5 but below 6. The note interprets these as signs of elevated movement, market attention, and relatively active but bounded trading. Its indicator and Python examples illustrate combining the conditions into a single candidate set; they do not report a backtest or measured returns.

The author warns that a narrow volume band can exclude other potentially interesting stocks, that focusing on limit-up themes may overlook other active names, and that the screen is simple and may be imprecise or risky. Suggested extensions include additional technical signals, company and industry fundamentals, adjusting volume thresholds for market conditions, and machine-learning forecasts. These suggestions are not evaluated in the document, and the screen’s short-term opportunity rationale is not supported by performance evidence.

Key ideas

• The screen requires prior-day amplitude above 1%, prior-day Dragon-Tiger list presence, and a volume ratio between 1.5 and 6.
• The stated rationale is to combine price movement, market attention, and trading activity.
• The document offers code examples but provides no backtest or performance results.
• A fixed volume band and reliance on a few technical filters can omit candidates or produce risky selections.
• The author suggests adding technical and fundamental inputs or adapting thresholds, without testing those changes.

Tags

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