A Stock Screen Combining Prior-Day Market Activity, Range, and Concentration

Summary

The document proposes a Chinese equity screen that combines a prior-day appearance on the market's notable-trading list with a price-range filter and ownership-concentration rankings. Its stated criteria are daily amplitude above 1%, a prior-day notable-list appearance, concentration below 20%, and a concentration rank within the top 70%. The rationale is that a large range may signal opportunity, notable trading can indicate short-term attention, and concentration measures may help characterize ownership and management. It also sketches implementations in two platform-oriented code examples.

The author acknowledges that narrow filters may leave few candidates, that concentration metrics may not capture business quality, and that the range and notable-list signals can produce unstable short-term outcomes. Suggested additions include valuation and growth measures, company size, liquidity, and industry-specific settings. The claims that the combined screen offers high return potential or lower risk are not supported by reported tests. The supplied formulas and examples also leave methodological questions about how concentration and rankings are defined, so the screen would need careful data validation and out-of-sample testing before use.

Key ideas

• The proposed screen combines a prior-day notable-trading-list flag, daily amplitude, and ownership-concentration filters.
• The stated thresholds are amplitude above 1%, concentration below 20%, and concentration rank within the top 70%.
• The document offers code examples but no backtest results or measured performance.
• The author identifies sparse selections and unstable short-term signals as risks.
• Valuation, growth, size, liquidity, and industry-specific filters are suggested for further refinement.

Tags

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