A-Share Screen Using Price Range, Market Capitalization, and Region

Summary

The document outlines a Chinese A-share stock screen that selects shares with an indicated price amplitude above one, circulating market value above 10 billion yuan, and excludes Beijing-listed A-shares. It presents the screen as a way to combine a size threshold, a volatility-related condition, and a regional filter. The accompanying formula refers to the prior day’s high-to-low ratio, while the Python example checks daily high-to-low ratios across historical data; these descriptions do not specify precisely the same screening timing.

No backtest, return series, or comparison with a benchmark is provided, so the screen’s investment performance is unestablished. The text notes that regional exclusions may omit candidates, price ranges can be affected by external forces, and market capitalization and amplitude alone do not assess company fundamentals. It suggests adding valuation, liquidity, and other measures, but supplies no tested version of those enhancements. The code and platform references are implementation examples, not evidence of predictive value.

Key ideas

• The proposed screen combines a price-amplitude condition, a circulating market value threshold, and exclusion of Beijing A-shares.
• The formula references the prior session’s high-to-low ratio, while the Python example examines historical daily ranges.
• The document provides no backtest results to establish whether the screen earns excess returns.
• The stated limitations include regional selection bias, potentially distorted range data, and omission of company fundamentals.
• Valuation and liquidity measures are suggested as possible additions but are not evaluated.

Tags

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