A-Share Screen for High Daily Range and Bounded Returns

Summary

This note describes a daily stock screen that selects A-shares in 2021 when the intraday high-low range exceeds 1% and the daily return is between -5% and 2.6%. It gives example implementations using a market formula and Python data processing, although the Python return filter is calculated from open to close rather than from the previous close as in the stated formula.

The author suggests the range may identify volatile shares and says the return bounds narrow the candidates, but provides no performance evidence or testing results. The screen may overlook company fundamentals and exclude lower-volatility stocks; the note suggests adding valuation or technical measures. The rationale is qualitative, and the examples' differing return calculations mean results may not match without clarifying the intended definition.

Key ideas

• The screen applies a daily range threshold above 1% and bounds returns between -5% and 2.6%.\nIt limits eligible observations to the 2021 calendar year.\nThe market formula computes returns against the prior close, while the Python example uses the open as its baseline.\nThe note offers no empirical performance evidence and warns that price-only criteria omit fundamental information.

Tags

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