Screening Chinese Stocks for Volatility, Large Float Value, and Sharp Declines

Summary

This stock screen combines three conditions: daily amplitude above 1%, circulating market value above 10 billion yuan, and a decline between 4% and 5% under the document’s stated calculation. It presents the setup as a way to find sizable, active stocks that have sold off, possibly after an event, and suggests adding fundamental and technical filters before selecting candidates.

The document provides indicator formulas and a Python example, but the example ranks stocks by circulating value and filters by market rather than implementing every stated condition. Its decline calculation and the phrase “maximum decline” are also not clearly aligned. No backtest or performance evidence is provided. The screen relies on price movement and size, so it does not establish that a declining stock is undervalued or high quality; the author flags the risk of ignoring fundamentals and other signals.

Key ideas

• The screen looks for stocks with daily amplitude above 1% and circulating market value above 10 billion yuan.
• It targets stocks whose stated daily decline falls between 4% and 5%.
• The document proposes adding valuation, profitability, and other technical filters.
• The examples do not clearly implement all stated conditions, and no performance results are supplied.

Tags

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