Backtest of 15,900 A-Share Stock-Days Finds Volume Confirmation Rule Unreliable

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A developer backtested the popular Chinese retail trading rule '量价配合' (price-volume confirmation) using daily data from 584 liquid Shanghai and Shenzhen stocks, generating 15,900 stock-days without paid data vendors. The study found that while the rule appeared to hold in aggregate — strong-volume up days outperforming weak-volume up days — the edge collapsed when results were split by calendar month. Across three consecutive months in 2026, key setups including limit-up days and high-volume breakouts flipped between positive and negative returns, sometimes dramatically. The baseline next-day return across all stock-days was -0.063%, a benchmark most retail backtests omit, masking illusory edges. The author concludes that narrow, theme-driven market conditions — like the one observed on September 10, 2026, where only 20.7% of stocks advanced — are precisely when momentum rules appear most reliable yet are most likely to fail going forward.

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