Screening for High Amplitude and a Sharp Daily Decline in 2021

Summary

This post proposes a Chinese stock screen for observations in 2021, combining daily amplitude above one percent with a reported daily decline between four and five percent. It frames the filters as a way to find volatile stocks that have fallen substantially without crossing a chosen threshold, then suggests reviewing valuation measures and excluding still larger declines. Formula and Python examples are offered as implementation references.

The post supplies no backtest, performance evidence, or entry and exit rules, so the screen should be understood as a candidate-generation idea rather than a complete strategy. It also acknowledges that a single-day drop says little about longer-term price behavior or financial health. The examples warrant careful validation: some calculations appear inconsistent with the prose description of amplitude and decline, and the year filter restricts the screen to historical observations. Additional data checks would be needed before using the results.

Key ideas

• The proposed screen combines daily amplitude above one percent with a four-to-five-percent decline filter.
• The stated observation period is 2021.
• The post recommends adding valuation measures and considering more severe declines.
• It gives no backtest or evidence that the screen forecasts returns.
• The sample calculations should be checked against the described filters before use.

Tags

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