A Chinese Stock Screen Using Daily Range, Recent Highs, and Opening Gains

Summary

The document proposes a Chinese equity screening rule that combines a daily price range greater than one percent, a high equal to the highest level across two days, and an opening gain below six percent. It presents these as short-term technical and timing filters, intended to select stocks showing activity without an excessive opening move. Formula references are given for the range, two-day high, and opening change.

The note cautions that the screen omits company fundamentals and that a modest opening gain may also identify stocks without a strong trend. It suggests combining the filters with profitability, asset quality, growth, later intraday price behavior, and indicators such as moving averages or MACD. These are suggestions rather than tested improvements: no backtest, performance data, transaction costs, or selection universe is supplied. The accompanying implementation material is illustrative and platform-dependent, so the note offers a rough screening concept rather than evidence of a profitable strategy.

Key ideas

• The screen selects stocks with a daily range above one percent and a high that matches the two-day maximum.
• It also requires the opening gain to be below six percent.
• The author warns that the rules omit fundamental measures and may select stocks with weak trends.
• Suggested additions include company quality measures, later intraday price filters, and technical indicators.
• No backtest or performance evidence is provided.

Tags

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