Stock Screening with Volatility, Volume, Turnover, and Bollinger Bands

Summary

This Chinese stock-screening note combines price range, turnover, auction volume relative to prior trading volume, and Bollinger Bands. Its stated logic seeks stocks with amplitude above 1, a turnover-and-volume ratio between 0.5 and 2, and a closing price between the Bollinger middle and upper bands. The article describes the filters as a way to find active shares whose prices are within a specified band region, and provides example formula and Python implementations.

The examples are not fully consistent with the prose: the formula uses different volume and volatility calculations, while the Python sketch applies its conditions to historical rows and uses a turnover proxy. The note offers no backtest results or evidence that the rules identify an uptrend reliably. It cautions that technical signals can be affected by market sentiment and indicator choices, and suggests supplementing them with fundamentals. The screen is a candidate-selection rule, with no defined entry timing, exit plan, or risk controls.

Key ideas

• The stated screen combines price amplitude, turnover, an auction-volume ratio, and Bollinger Band position.
• Eligible closing prices are described as lying between the Bollinger middle and upper bands.
• The published examples use calculations that do not consistently match the prose rules.
• The document provides no performance evidence and notes that technical signals can be unreliable.
• It suggests adding fundamental measures, while leaving execution and risk controls unspecified.

Tags

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