A Chinese A-Share Screen Using Daily Range and the 10-Day Average

Summary

This note describes a short-term stock screen for Shanghai-listed shares. It selects stocks whose daily high-low range exceeds 1% of the open, whose code begins with 60, and whose opening price falls between the prior and current 10-day moving averages of closing prices. Candidates are then ordered by a 50-day range-position measure, which favors prices nearer the lower end of the recent high-low range.

The article explains the range filter as a way to find more volatile shares and treats an open near the moving average as a possible rebound setup. It provides indicator and Python examples, but no backtest, performance results, or evidence that the signal predicts reversals. The moving average is backward-looking, and higher volatility can increase risk; the author suggests adding other technical indicators and fundamental checks. The method is therefore a screening proposal rather than a validated trading strategy.

Key ideas

• The screen requires a daily high-low range greater than 1% of the opening price.
• It limits candidates to stocks whose codes begin with 60 and whose open lies between two 10-day moving-average readings.
• A 50-day range-position calculation is used to rank qualifying shares.
• The article warns that volatility and a price near a moving average do not establish value or future returns.

Tags

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