A-Share Screen Using Daily Range, Two-Day Highs, and Float Size
Summary
This note describes a simple Chinese equity screen combining daily price range, a recent high, and share supply. It selects stocks whose high is the highest of the current and prior day, whose daily range exceeds 1%, and whose tradable share count is no more than 5.5 billion. The rationale offered is to find actively moving shares with recent price strength and a relatively limited float. It also sketches how these conditions could be combined with other technical and fundamental filters.
The note provides indicator formulas and illustrative code, but no backtest, performance statistics, or evidence that the criteria predict returns. It cautions that the screen omits company fundamentals and longer-term price behavior. The suggested additions include valuation and growth measures, but the examples are incomplete and include extra filters beyond the stated core rule. Results will depend on data definitions and implementation, so the screen alone does not establish investment merit.
Key ideas
- The screen requires a daily range above 1% and a high equal to the highest high over two days.
- It limits eligible stocks to those with no more than 5.5 billion tradable shares.
- The note frames range and recent highs as signs of activity and favorable market conditions.
- It warns that the criteria omit fundamentals and longer-term price trends.
- It suggests adding technical, fundamental, and market-capitalization measures.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.