Screening Chinese Stocks by Volatility, Recent Gains, Turnover, and Valuation

Summary

This Chinese-language post proposes a stock screen combining price movement and liquidity conditions: an amplitude threshold, at least one large daily gain within the past 25 trading days, and turnover between 3% and 12%. It frames the screen as potentially suitable for short- to medium-term traders, while noting that price and turnover filters alone can overlook fundamentals and broader market conditions.

The post suggests adding valuation limits for price-to-earnings, price-to-book, price-to-sales, and PEG ratios, as well as volume and capital-flow measures. It also includes example formula logic using ATR, prior close, and rolling volume averages, alongside a time-of-day condition. These examples do not constitute a tested strategy: no returns, benchmark comparison, transaction costs, or risk-adjusted results are provided. Some code details appear inconsistent with the prose, so the screen’s implementation and parameter meanings require verification before use.

Key ideas

• The initial screen combines price amplitude, a recent large daily gain, and a turnover range.
• The proposed refinement adds valuation ratios and indicators of volume or capital flows.
• Example formula logic uses ATR, prior close, rolling volume measures, and a time window.
• The post identifies risks from relying on short-term price and liquidity characteristics alone.
• No backtest evidence is given, and the example implementation may need verification.

Tags

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