A Chinese Stock Screen Using Range, Float Value, and Two-Day High

Summary

The document presents a Chinese equities screen combining three filters: daily high-low range of at least 1%, circulating market capitalization above 10 billion yuan, and a current high that equals the highest high over two days. It provides corresponding indicator logic and a Python example using market and daily data to check these conditions and randomly select a requested number of qualifying stocks.

The rationale offered is that range reflects trading activity, market capitalization captures company size, and the two-day high identifies recent price strength. No backtest, return statistics, or comparison with a benchmark is provided, so the screen’s effectiveness is not demonstrated. The author cautions that the rules omit fundamentals and financial data, and that a brief high may not persist. Suggested improvements include adding fundamental and industry analysis, combining technical indicators, and using position and loss controls or diversification.

Key ideas

• The screen requires a range of at least 1%, circulating market value above 10 billion yuan, and a two-day high.
• The rules combine a volatility measure, a company-size filter, and a short-term price condition.
• The document supplies indicator logic and a Python selection example but no performance results.
• The screen omits business fundamentals and may select stocks whose short-term strength fades.
• The author recommends broader analysis and risk controls to supplement the filters.

Tags

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