Screening Chinese Stocks for Volatility, Small Float, and Sharp Daily Losses

Summary

This note describes a Chinese stock screen combining intraday range, tradable share count, and a steep daily decline. It selects stocks whose amplitude exceeds 1%, whose float is no more than 5.5 billion shares, and whose low is 4% to 5% below the previous close. The provided examples express the filters in indicator-style formulas and Python, with the Python example ranking qualifying names by turnover and retaining roughly the top tenth.

The author frames the screen as a way to find volatile, potentially tradeable stocks, but provides no backtest or performance evidence. The stated cautions are that the rules omit financial health and company fundamentals, and that a sharp short-term drop does not establish a continuing downtrend. Suggested refinements include adding financial measures and technical trend analysis. The formulas and ranking procedure are implementation references, not evidence that the screen has predictive value; the article also does not define a holding period or exit rules.

Key ideas

• The screen combines an amplitude threshold above 1% with a float ceiling of 5.5 billion shares.
• It selects stocks whose intraday low is between 4% and 5% below the prior close.
• The Python example ranks qualifying stocks by turnover and takes about the top tenth.
• The note warns that price filters omit fundamentals and that one-day losses may not persist.
• No backtest, holding period, or exit method is provided.

Tags

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