A Shanghai-Listed Stock Screen Using Daily Range and the Five-Day Average

Summary

The document describes a simple stock selection rule: choose shares with codes beginning with 60, a daily high-low range greater than 1% of the previous close, and a closing price above its five-day moving average. It supplies equivalent examples in a charting formula language and Python, illustrating how to combine a volatility filter, a market-code filter, and a short-term price trend condition.

The rationale is that a larger range may identify more active stocks, while trading above the moving average may indicate recent strength. No backtest, performance data, or evidence of predictive value is provided. The text cautions that a single technical condition can produce false signals and that volatile stocks carry greater risk. It also notes the absence of fundamental analysis and suggests considering additional indicators, company data, or a multifactor approach. The screen is a starting point for research rather than a complete trading strategy; it does not specify entry timing, exits, position sizing, or risk controls.

Key ideas

• The screen selects stocks whose codes begin with 60 and whose daily range exceeds 1% of the previous close.
• It also requires the closing price to be above its five-day moving average.
• The article offers charting formula and Python examples of the combined conditions.
• The document provides no backtest or evidence that the filter predicts returns.
• It warns that volatility, false signals, and missing fundamental analysis limit the screen.

Tags

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