A Simple Stock Screen Using Daily Range and Prior-Day Low

Summary

This note describes a daily stock screen combining three conditions: price range exceeds a threshold, the ticker begins with a specified Shanghai-market prefix, and the close is above the previous session’s low. It frames the range condition as a way to select more volatile shares and the close-versus-low comparison as a possible upward signal. Example formulas and a Python-style implementation illustrate how to apply the filters.

The note cautions that the price comparison can produce false signals and that higher-volatility stocks carry greater risk. It suggests adding technical and fundamental measures or combining signals in a multi-factor model. It provides no backtest, performance evidence, or detailed rules for entry, exit, or portfolio construction, so the screen is best understood as a basic selection example rather than a validated strategy.

Key ideas

• The screen requires a daily high-low range above a threshold relative to the prior close.
• It restricts candidates to shares whose codes begin with a specified market prefix.
• A close above the previous day’s low is treated as a possible upward signal.
• The note warns that this price relationship can generate false signals and that volatile shares carry more risk.
• It proposes combining technical, fundamental, and risk measures for a more complete selection model.

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