A-Share Screen for Daily Range and Prior-Day Trading Value

Summary

This document describes a Chinese equity screen that excludes Beijing-listed shares and selects stocks with a daily high-low range above 1% and prior-day trading value above 60 million. It presents the filters as signals of price variability and market participation, then suggests adding fundamental measures and using multi-day average trading value to broaden the assessment.

The article gives indicative formula and Python examples, but no backtest, performance results, or evidence that the criteria predict returns. It cautions that the screen ignores fundamentals and broader economic conditions, and that stocks with large price moves may subsequently pull back. The suggested refinements include avoiding purchases after sharp rises and assessing longer-term investment value; these are general proposals rather than tested rules.

Key ideas

• The screen excludes Beijing-listed shares and requires daily amplitude above 1%.
• It also requires prior-day trading value above 60 million.
• The article treats amplitude and trading value as rough indicators of volatility and market attention.
• It warns that the criteria omit fundamentals and macroeconomic conditions, and may capture stocks at risk of a pullback.
• It proposes adding fundamental measures and multi-day average trading value, but provides no performance evidence.

Tags

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