Screening Stocks for Volatility, Trading Volume, Opening Strength, and Trend

Summary

This note describes a Chinese equity screen combining price movement, trading activity, opening behavior, and a long-term trend filter. It selects stocks with amplitude above 1, current volume above 10,000 lots, an open above the previous close, and a close above the 250-day moving average. The stated rationale is to find actively traded stocks with notable price movement whose longer-term price trend remains firm.

The note warns that this technical screen omits company fundamentals and other risks, which can make decisions less reliable when market conditions change. It suggests supplementing the screen with indicators such as MACD and KDJ, valuation and profitability measures, and policy, industry, and market risk considerations. It provides an indicator formula and a sample Python implementation, but no performance results or empirical validation. The code’s screening details do not fully match the described conditions, so readers should verify how each condition is calculated before relying on an implementation.

Key ideas

• The screen combines amplitude above 1 and current volume above 10,000 lots with an opening gap above the previous close.
• It requires the close to remain above its 250-day moving average as a long-term trend filter.
• The note identifies reliance on technical signals without fundamental or broader risk analysis as a limitation.
• It recommends adding technical, fundamental, industry, macroeconomic, and risk factors for a broader assessment.
• The provided example code may not implement every stated condition consistently.

Tags

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