A Chinese Stock Screen Using Price Range and Intraday Return Filters

Summary

The post proposes screening Chinese equities by requiring daily amplitude above a threshold, a 9:25 price gain below a cap, and a daily return within a bounded range. It provides both an indicator expression and a Python sketch that loops through listed stocks, retrieves price data, and retains names meeting its filters. The author also suggests adding fundamental stability, industry conditions, and other technical measures before using the screen.

The post offers no backtest results or evidence that the screen predicts returns. Its explanation of the amplitude condition is not fully consistent with the Python sketch: the code compares the highest and lowest prices over several recent sessions and skips when their ratio is at most one, a condition that does not operationalize the stated threshold in a clear way. The code also mixes intraday and end-of-day data requirements, so the intended timing and data availability need scrutiny before practical use. The author acknowledges that price-only screening can miss company fundamentals and leaves portfolio decisions to the investor.

Key ideas

• The proposed screen combines a minimum amplitude condition with limits on the opening auction move and daily return.
• The post supplies an indicator expression and a Python outline for filtering stocks.
• It recommends supplementing price filters with company, industry, and market information.
• No performance results are presented, and the code's amplitude calculation is unclear relative to the stated rule.

Tags

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