Screening Stocks for Reversal Candles, Daily Range, and Recent Price Spikes

Summary

This note presents a Chinese equity screen combining three historical price conditions: a daily high-low range above one percent, at least one daily gain of ten percent or more within the prior 25 trading days, and a reversal or engulfing-style pattern within the prior three sessions. It includes formula and Python examples intended to implement the filters. The overall idea is to find stocks that have shown both substantial movement and signs of a recent trend reversal.

No backtest, return series, or comparison with a benchmark is provided, so the document does not establish whether the screen works. It cautions that rules based on past price action may not reflect changing market conditions and that results may vary across industries, market regimes, and stock sizes. It recommends considering additional technical or fundamental filters and relevant company or macro events. The examples also use differing formulations for the recent large-gain and reversal conditions, so an implementation would need to define and verify those signals precisely.

Key ideas

• The screen combines a daily range threshold, a large gain during the past 25 sessions, and a recent reversal pattern.
• The proposed lookback for the reversal pattern is three trading sessions.
• The note supplies formula and Python examples but no evidence of historical performance.
• Past-price filters may behave differently across stocks, industries, and market conditions.
• The signal definitions should be reconciled and validated before use.

Tags

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