Selecting Chinese Stocks by Amplitude, Dragon-Tiger Lists, and Turnover

Summary

This post describes a Chinese equity screening rule that combines prior-day price amplitude above 1%, an appearance on the prior day’s Dragon-Tiger list, and turnover between 2% and 9%. It frames the combination as a way to find volatile, actively traded stocks that may have market interest without extreme trading intensity. The article includes example indicator and Python snippets illustrating how to intersect the three conditions.

The post cautions that the filters may produce few candidates and that listed stocks can be speculative or have weak fundamentals. It suggests adding technical and fundamental filters, stop-loss rules, position management, and market-sensitive parameter adjustments. It provides no backtest results or performance evidence, and the code’s turnover calculation and data assumptions are not validated in the text, so the screening rationale should not be read as proof of stable returns.

Key ideas

• The screen requires prior-day amplitude above 1%, a prior-day Dragon-Tiger list appearance, and turnover between 2% and 9%.
• The post interprets these filters as seeking volatility and trading interest without the highest turnover.
• The author warns that the criteria can yield few candidates and may select speculative stocks with weak fundamentals.
• Suggested refinements include additional technical and fundamental filters, stop-loss rules, position controls, and adapting thresholds to market conditions.
• No backtest or realized performance evidence is supplied.

Tags

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