Screening for High-Volatility Stocks with a Sharp Intraday Drop and Breakout

Summary

This Chinese-language post outlines a stock screen that combines daily amplitude above 1%, an intraday low down more than 4% but less than 5% from the previous close, and a “main uptrend start” condition. Its example code treats that last condition as a close above the highest close in the preceding 60 sessions. The code also adds exclusions based on company size, price-to-book, and price-to-earnings measures, despite those filters not appearing in the summary of the core logic.

The rationale is that a volatile stock with a substantial intraday decline may rebound or attract attention, while a close above recent highs may indicate a rising phase. The post cautions that the approach relies on short-term data and subjective interpretation, and that poor risk assessment or frequent turnover may lead to losses. It recommends considering sentiment and fundamentals, but gives no backtest, execution assumptions, or evidence that the proposed screen is profitable.

Key ideas

• The screen combines daily amplitude, a specified intraday drawdown, and a breakout above recent closing prices.
• The example code defines the breakout using the maximum close over the prior 60 sessions.
• The code also applies size and valuation exclusions beyond the three headline conditions.
• The author notes risks from short-term signals, subjective interpretation, and frequent trading.
• The post provides no performance results or evidence of a durable trading edge.

Tags

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