A 2021 Stock Screen Using Daily Range and Prior-Day Low

Summary

The document describes a simple stock-selection screen: identify shares with a daily high-to-low range above one percent during 2021, then require the close to exceed the prior session’s low. It interprets the range threshold as a way to focus on more volatile stocks and the closing-price condition as a short-term strength filter. The post also gives example implementations for two Chinese retail quant platforms, but it provides no portfolio construction, exit rules, transaction-cost assumptions, or backtest results.

The accompanying cautions are that the screen relies on short-term price behavior, omits company fundamentals and broader market conditions, and may fare poorly in a falling market. Suggested extensions include adding fundamental filters and other technical indicators. The source’s code examples do not implement precisely identical prefilters, so they should not be treated as a fully specified or validated trading system. The stated selection logic alone offers no evidence of profitability or robustness.

Key ideas

• The screen requires a daily high-to-low range greater than one percent and a close above the previous day’s low.
• The specified date filter limits observations to 2021.
• The rationale treats range as a volatility signal and the close condition as a short-term strength signal.
• The post identifies market declines and omitted fundamentals as important risks.
• No backtest, execution rules, or evidence of investment returns is provided.

Tags

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