Screening Stocks by Volatility, Ten-Day Gains, and Trading Value

Summary

This document describes a Chinese equity screen requiring price amplitude above 1, a positive ten-day return below 35%, and previous-day trading value above 60 million. It presents amplitude as a measure of price movement, the bounded return as a way to select stocks that have risen without an extreme gain, and trading value as a liquidity and activity filter.

The article provides a short rationale for each condition and a sample implementation outline. It offers no backtest, performance figures, or evidence that the selected stocks outperform. The author notes that the screen omits fundamental analysis and that high trading value can coincide with speculative surges. Suggested refinements include adding valuation and technical measures and accounting for market conditions and sector rotation. The conditions are screening criteria, not a complete trading plan; the document does not define entry timing, exits, or risk controls.

Key ideas

• The screen combines price amplitude, ten-day return, and previous-day trading value.
• The ten-day return filter seeks stocks with positive but bounded recent gains.
• Trading value is used as a proxy for activity and liquidity.
• The article warns that the screen lacks fundamental analysis and may capture speculative trading.
• It suggests adding valuation, other technical measures, and market context.

Tags

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