Screening for High Amplitude, Recent Highs, and Trading Value
Summary
The document describes a Chinese equity screen that combines daily price range, a recent-high condition, and trading value. It selects stocks whose high-low range exceeds 1% of the previous close, whose high matches the highest value across the current and prior session, and whose stated trading value threshold is more than 60 million on the previous day. It also suggests filtering out stocks with daily price changes beyond roughly 9.5% in either direction.
The article explains that the filters aim to find active stocks with short-term strength, then recommends considering company fundamentals and broad market conditions. It gives indicator expressions and sample selection logic, but provides no backtest, performance figures, or evidence that the screen predicts returns. The examples also leave a timing ambiguity: the written rule specifies prior-day trading value, while the sample expression appears to use current volume. Price-limit thresholds may also vary by security type, so the suggested bound is not universal.
Key ideas
- The screen combines a daily amplitude threshold with a high equal to the maximum over two sessions.
- It requires prior-day trading value above the stated threshold.
- The article proposes excluding unusually large daily price changes as an additional filter.
- Fundamentals and broad market conditions are omitted from the basic screen.
- No historical performance evidence is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.