Screening Stocks by Volatility, Ten-Day Return, and Broker Attention

Summary

This Chinese equity screen selects stocks with daily price amplitude above a threshold, a positive but capped ten-day return, and an appearance on the previous day’s trading activity list. The post frames amplitude as a volatility measure, the return band as a way to avoid both negative momentum and very large recent gains, and list inclusion as a possible sign of institutional interest. It supplies an indicator expression and a Python sketch for filtering candidates.

The author cautions that list data alone offers limited insight and may encourage overreaction to heavily traded names; past performance is not a guarantee of future results. The post suggests adding other indicators and diversifying exposure. It reports no backtest or realized performance. Its code narrows list appearances to entries mentioning institutions, which may not match the broader stated criterion, so the operational definition should be checked before use.

Key ideas

• The screen combines daily amplitude, a bounded ten-day return, and prior-day trading-list inclusion.
• The return range seeks stocks with recent gains while excluding names that have risen beyond the stated cap.
• Trading-list inclusion may indicate attention, but the document warns it can also accompany speculative overpricing.
• The code example applies an institutional-mention filter that may differ from the stated selection rule.
• No backtest or strategy performance results are provided.

Tags

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