Screening Chinese Stocks by Volatility, Recent龙虎榜 Activity, and Rising Averages

Summary

The document describes a short-term Chinese equity screen combining three conditions: prior-day price amplitude above 1%, appearance on the previous day’s 龙虎榜 (Dragon-Tiger List), and a rising five-day moving average accompanied by higher volume than the prior day. It presents the combination as a way to find volatile stocks with recent trading attention and upward price momentum, and includes example implementations in indicator formula syntax and Python.

The document offers no backtest results or empirical support for the screen’s expected returns. It warns that simulated results may differ from live trading, that results can depend on region and period, and that reliance on short-term sentiment can make the approach risky. Its explanations also blur the meaning of rising averages and institutional attention, while the example code’s amplitude timing and some moving-average calculations may not precisely match the prose. Suggested refinements include adding valuation measures, examining leaderboard fund flows, and incorporating indicators such as KDJ or RSI; these are proposals, not tested improvements.

Key ideas

• The screen combines prior-day amplitude above 1%, prior-day leaderboard presence, and a rising five-day average with increased volume.
• The article presents volatility, recent trading attention, and price movement as complementary selection signals.
• The article gives formula-style and Python examples but does not report a measured strategy performance.
• It cautions that backtests may not reflect live returns and that short-term sentiment dependence can increase risk.
• Valuation measures, leaderboard fund flows, and additional technical indicators are suggested as possible refinements.

Tags

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