A Stock Screen Based on Daily Range, Listing Year, and Name Filter

Summary

This note proposes screening Chinese A-shares for daily amplitude above 1%, excluding names containing a Beijing reference, and selecting stocks associated with 2021. It gives formula and Python examples that calculate the high-low range relative to the low, apply the name and date conditions, and sort qualifying stocks by market capitalization. The article frames the filters as a simple way to combine price volatility, geography, and listing timing.

The article acknowledges that this screen omits longer-term trends and company fundamentals, that excluding stocks by a regional name condition has limitations, and that the parameter choices need testing. It offers no backtest, performance evidence, or clear rationale for the thresholds. The rule is also ambiguous about whether 2021 refers to listing year or observation date, and the examples appear inconsistent with that distinction. It is best read as an illustrative screening template rather than a validated strategy.

Key ideas

• The proposed screen combines daily high-low amplitude, a name-based exclusion, and a 2021 date condition.
• The examples show how to calculate amplitude and apply filters in a charting formula or Python.
• The article suggests adding market and fundamental factors and testing parameter choices.
• No performance results are reported, and the intended meaning of the 2021 condition is unclear.

Tags

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