A Chinese Stock Screen Using Price Range, Market Value, and Fund Strength

Summary

The document presents a Chinese equity selection rule that filters for stocks with a daily high-to-low range of at least one percent and circulating market capitalization above 10 billion yuan, then ranks candidates by fund strength. It supplies a formula-style representation and a Python example that retrieves stock, quote, market capitalization, and major-holder data before producing a sampled list.

The implementation approximates fund strength using fund holders among the largest circulating shareholders and their reported holdings. The author warns that the screen omits company fundamentals and financial data, and that holder rankings may be affected by liquidity and capital movements. The suggested improvements include adding fundamental, technical, and industry analysis, using indicators such as RSI or KDJ, and diversifying across industries. No backtest or performance evidence is provided, and the code's proxy for fund strength may not match the stated ranking concept exactly.

Key ideas

• The screen requires a high-to-low price range of at least one percent and circulating market value above 10 billion yuan.
• Candidates are ranked using a measure of fund strength or fund-holder presence.
• The provided Python example uses market quotes and major-holder data to approximate fund activity.
• The document cautions that the screen omits fundamentals and may be distorted by liquidity or capital flows.
• It recommends combining the filter with broader analysis and industry diversification.

Tags

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