Screening Chinese Stocks by Volatility, Market Heat, and Trend Filters

Summary

The document outlines a Chinese A-share screen that starts with stocks showing an amplitude above 1, excludes Beijing-listed shares, and ranks the remaining names by individual stock heat. It then proposes a more involved version using amplitude above 2%, fundamental criteria, upward-spreading moving averages, market heat, and a minimum selection count of five.

The article supplies example indicator and Python logic for combining these filters, but does not report backtest results or define the heat measure consistently. Its stated concerns are that the initial screen neglects fundamentals and broader market direction and relies heavily on short-term attention. The suggested additions may make the screen more selective, but the fundamental test and heat ranking require precise definitions and independent validation before use.

Key ideas

• The initial screen selects stocks with amplitude above 1, excludes Beijing A-shares, and orders candidates by stock heat.
• The proposed refinement raises the amplitude threshold to 2% and adds fundamental and moving-average filters.
• The article identifies short-term focus and omission of broad market conditions as key limitations.
• The supplied examples do not establish performance or fully specify how stock heat and fundamental quality are measured.

Tags

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