Stock Screening with Amplitude, Turnover, and Recent Large Gains

Summary

This Chinese stock screen looks for shares with daily amplitude of at least 1%, turnover above 2% and no higher than 9%, and at least one session with a gain of 10% or more during the prior 25 trading days. The selection combines a volatility measure, trading activity, and evidence of a recent sharp upward move, which the article interprets as a possible sign of strength.

The document provides sample indicator logic and Python code, but the Python example’s turnover calculation uses recent volumes rather than a clearly defined turnover-rate field, and its date range does not visibly implement the stated rolling 25-session window. It reports no backtest or outcome data. The author notes that the screen neglects company fundamentals and may select stocks vulnerable to a pullback after a large daily rise. Suggested refinements include adding financial measures and other technical indicators. The rule should therefore be treated as a screening hypothesis whose implementation and results need independent checking.

Key ideas

• The screen requires amplitude of at least 1% and turnover above 2% through 9%.
• It also requires at least one daily gain of 10% or more in the previous 25 trading days.
• The article presents sample implementations, though the Python version does not clearly match all stated conditions.
• The author flags the lack of fundamental analysis and the possibility of a post-surge pullback.

Tags

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