Screening Chinese Stocks for Large Intraday Declines and Low Prices

Summary

This document describes a Chinese equity screen based on three daily conditions: amplitude above 1, a daily percentage change between -5% and -4%, and a closing price below 12 yuan. It presents the method as a way to identify stocks with notable price movement and a low share price. Example formulas and Python-style logic illustrate applying the filters to daily market data.

The document offers no backtest, performance figures, or evidence that the screen predicts returns. It acknowledges that the rule uses technical price behavior without fundamental analysis and may be affected by macroeconomic conditions and individual-stock volatility. It suggests adding fundamental criteria and managing portfolio risk, but does not define those additions or provide position sizing or exit rules.

Key ideas

• The screen selects stocks with amplitude above 1 and a daily decline between 4% and 5%.
• It also requires the closing price to be below 12 yuan.
• The examples apply the conditions to daily stock data.
• The document provides no performance evidence and notes that the screen omits fundamental factors.

Tags

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