A-Share Screen Combining Intraday Range, Dividend Yield, and Recent Top-List Appearance

Summary

This Chinese stock screening example combines three conditions: a large daily high-to-low range relative to the open, a dividend yield threshold based on 2019 data, and an appearance on the previous day's market activity list. The article frames the range as a volatility measure, the dividend filter as a shareholder-return characteristic, and the list appearance as a possible clue to market attention or capital flows. It includes sample screening logic and Python-style data steps.

The proposed screen is presented as short-term and potentially high risk. The document cautions that market-list activity can be a noisy sentiment signal and that range and dividend measures alone say little about a company's finances or business prospects. It recommends considering growth and other market-flow information and adding risk controls. No backtest or return evidence is supplied. The examples also depend on the correctness, timing, and definitions of the underlying data fields, so their outputs should be validated before use.

Key ideas

• The screen combines daily price range, a historical dividend-yield threshold, and prior-day market-list appearance.
• The article interprets these filters as proxies for volatility, shareholder returns, and market attention.
• It characterizes the approach as short-term and potentially risky.
• The document warns that these filters do not establish financial quality or business growth.
• No backtest or evidence of returns is provided, and input data definitions require validation.

Tags

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