Stock Screening with Rising Lows, Daily Range, and Top-Trader Activity

Summary

This Chinese stock-screening note proposes selecting shares with an amplitude above a stated threshold, rising lows, and inclusion in the previous day’s top-trader activity rankings. It frames the ranking data as a way to identify market attention and pairs it with price behavior. The article also suggests adding fundamental measures and potentially combining them with machine-learning models, while adapting the criteria to market conditions and the investor’s approach.

The post supplies indicator-formula and Python examples, but their calculations do not consistently match the written rules: the sample code uses high-price standard deviation for amplitude, checks positive money flows as a proxy for ranking inclusion, and does not clearly implement the stated amplitude threshold. No backtest, performance evidence, or validation is provided. The author cautions that the screen is mainly technical, ranking information may be incomplete, and fundamentals are omitted from the initial rules. The examples should therefore be treated as illustrative rather than as a fully specified, tested strategy.

Key ideas

• The proposed screen combines a daily amplitude condition with rising lows and previous-day top-trader activity.
• The note presents market attention as a possible signal, but does not establish that it predicts returns.
• It suggests adding fundamental measures and combining inputs with machine-learning methods.
• The supplied code uses proxies that differ from parts of the written screening rules.
• The approach has no reported backtest and may omit fundamental and incomplete-data risks.

Tags

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