A Chinese Stock Screen for Daily Highs, Amplitude, and Listing Age

Summary

This stock-selection rule screens for shares with daily amplitude above 1, a listing history longer than three years, and a current high at least as high as the highs over the comparison window. The stated rationale is to identify stocks near recent highs with meaningful price movement while avoiding the instability associated with newly listed shares. The page also provides a Python example that queries daily and listing data and filters out some exchange codes.

The document offers a rule description and implementation example, but no backtest, performance statistics, or benchmark comparison. It cautions that the screen ignores company fundamentals, that past price behavior may not predict future returns, and that short-term trading activity does not establish long-term value. It suggests combining the price filters with fundamental measures and other technical indicators. The screening conditions alone do not specify a complete portfolio or trading plan.

Key ideas

• The screen selects stocks with daily amplitude above 1 and more than three years since listing.
• It compares the current day's high with highs over the recent two-day window.
• The example excludes some exchange codes while iterating through listed stocks.
• The post warns that the rules omit fundamentals and rely on limited historical price behavior.
• It proposes adding fundamental measures and other indicators for broader screening.

Tags

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