A Chinese Stock Screen for High Daily Range, 2021, and Low Price

Summary

This note describes a Chinese equity screening rule that selects stocks with a daily high-to-low range above 1%, a closing price below 12, and dates in 2021. It gives example implementations in a charting formula and Python, though the Python range calculation divides by closing price rather than the low price used in the formula description. That difference can change which stocks qualify.

The rationale offered is that a larger daily range may indicate greater movement, while the low price threshold identifies cheaper shares. The note provides no backtest, performance figures, or comparison with a benchmark, so it does not establish whether these filters predict returns. It also cautions that a low share price does not imply good value and that larger price swings bring risk. The screen is a historical filter for 2021; the article does not explain how to apply it prospectively or specify portfolio construction, entry and exit rules, or position sizing. It suggests fundamental research and stop-loss and take-profit levels as possible additions.

Key ideas

• The screen combines a daily range threshold, a 2021 date filter, and a closing price ceiling.
• The charting formula measures range relative to the low, while the Python example uses the close as denominator.
• A low share price alone does not show that a stock is undervalued.
• The note warns that high daily fluctuation can increase risk.
• No backtest or return evidence is presented.

Tags

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