A-Share Screening by Daily Range and Circulating Market Value

Summary

The document outlines a China A-share stock screen based on daily price range, geography, and circulating market value. Its stated filters require amplitude above 1%, exclude Beijing-listed shares, and select companies with circulating market value above 10 billion yuan. It also gives illustrative formula and Python snippets and suggests ordering qualifying stocks by market value.

The post acknowledges that this is a simple rule set: it relies on few inputs, may measure circulating value imprecisely, and uses a regional exclusion that may not capture risk systematically. It proposes adding more indicators and replacing the fixed geographic filter with a broader risk-based exclusion. No backtest, performance evidence, or precise definition of the amplitude measurement is supplied, so the screen should be treated as an example for further evaluation rather than a demonstrated strategy.

Key ideas

• The screen selects A-shares with daily amplitude above 1% and circulating value above 10 billion yuan.
• It excludes Beijing-listed shares, though the post does not establish why this is an effective risk filter.
• The suggested implementation ranks qualifying stocks by circulating market value.
• The post recommends combining additional indicators and using a more systematic risk screen.
• No backtest or performance results are provided.

Tags

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