Screening Chinese Stocks for Volatility and Recent Large Gains

Summary

The proposed screen selects stocks with amplitude above one, a prior-day signal described as main-force control, and at least one daily gain of 10% or more during the previous 25 trading days. It combines a volatility condition with a recent large-move condition as a way to find shares exhibiting strong price action. The post also gives indicator expressions and sample Python-style logic, though the implementation and stated thresholds are not fully consistent: the narrative threshold for amplitude differs from the sample filter’s value.

The author identifies several limitations: sharp recent gains may precede selling, volatile stocks may not keep rising, and the screen ignores company fundamentals. Suggested additions include fundamental, market-capitalization, volume, and technical indicators. No backtest results or evidence of predictive performance are provided, so the screen should be treated as a selection hypothesis rather than a validated strategy.

Key ideas

• The screen combines an amplitude threshold, a prior-day control proxy, and a recent daily gain of at least 10%.
• It looks for at least one qualifying large gain within the last 25 trading days.
• The post warns that large gains and short-term volatility can precede reversals or fail to persist.
• Fundamentals, market capitalization, volume, and technical indicators are suggested as possible additions.
• The document provides no backtest evidence, and its amplitude threshold descriptions are inconsistent.

Tags

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