Screening for Pullbacks After Positive Ten-Day Stock Returns

Summary

This Chinese stock-screening note combines three price conditions: amplitude above 1%, a ten-day return greater than zero but below 35%, and an intraday low between 4% and 5% below the open. The rationale is to focus on names with recent gains that have experienced a sharp but bounded decline, potentially identifying candidates for a rebound or base formation. The note includes a brief Python example that filters on amplitude and the open-to-low move.

The code does not fully implement the stated rules: it calculates a ten-day return but never filters on it, and the amplitude threshold is expressed as a ratio. No historical test or performance evidence is supplied. The author warns that sharp short-term declines can continue and that historical price conditions may not predict future movement. Fundamental measures, additional technical indicators, and broader market conditions are suggested as possible context, without tested specifications.

Key ideas

• The proposed screen combines amplitude, ten-day return, and an intraday decline from the open.\nIt seeks stocks with moderate recent gains and a sharp but bounded intraday drop.\nThe Python example computes ten-day returns but does not apply that condition as a filter.\nThe approach has no reported backtest or performance evidence.\nThe note cautions that large short-term declines can carry substantial risk.

Tags

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