A-Share Screen Using Daily Range and Opening Price Change
Summary
This intraday stock screen excludes Beijing-listed shares and selects stocks with a daily high-low range greater than 1% of the prior close. It also requires the opening price change relative to the previous close to be above -2% and below 5%. The post presents the filters as a way to focus on stocks showing price movement while avoiding particularly large opening moves in either direction, and includes formula and Python examples.
The article flags potential opening-price data errors and the risk that leverage may contribute to sharp price swings. It recommends considering valuation, liquidity, and risk controls as additional filters. It offers no backtest or evidence that these thresholds improve returns. Its written explanation also mixes geographic and market exclusions, so the intended universe may need clarification when implementing the rule; the article’s formula specifies excluding Beijing listings. The range and opening-change cutoffs are screening conditions, not a complete entry, exit, or position-sizing plan.
Key ideas
- The screen excludes Beijing-listed shares and requires a daily range greater than 1% of the prior close.
- It accepts opening price changes from just above -2% to just below 5% relative to the previous close.
- The post notes possible errors in opening-price data and risks from sharp price swings.
- It suggests adding valuation, liquidity, and risk criteria, but provides no performance evidence or complete trading rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.