Screening Stocks for Large Swings and a Moderate Daily Decline

Summary

This Chinese equity screen selects stocks with price amplitude above a threshold, a daily maximum decline between 4% and 5%, and more than one year since listing. The note presents these conditions as a way to combine recent price movement with a minimum listing history. It also suggests broadening the screen with technical, fundamental, or money-flow measures, including company size and return on equity.

The author warns that requiring a year of trading history can exclude promising newly listed companies and acknowledges that the rule omits fundamentals. No backtest or evidence of subsequent returns is supplied. The included formula and Python example focus on historical highs and trading activity, and do not clearly implement all three stated selection conditions; they should therefore not be treated as a faithful executable specification of the prose rule.

Key ideas

• The stated screen combines high price amplitude, a daily decline within a specified band, and a listing history longer than one year.
• The listing-age requirement may leave out newer stocks with potential.
• The author suggests adding fundamental, technical, and capital-flow factors to refine the screen.
• No performance test is provided, and the sample code does not clearly match the stated conditions.

Tags

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