A Volatility and Listing-Code Screen for Shanghai A-Shares

Summary

This note outlines a Chinese A-share screen that selects stocks with a daily high-low amplitude above 1%, excludes Beijing-listed shares, and keeps securities whose codes begin with 60. It frames the rule as a basic filter on short-term price movement and listing category, and includes formula and Python examples. The document does not provide a backtest, rationale for the specific threshold, or evidence that the screen predicts returns.

The author identifies several limitations: the rule ignores longer-term trends and company fundamentals, the regional exclusion is arbitrary, and restricting the code prefix may omit other opportunities. Suggested improvements include evaluating multiple periods and stock types, considering broader market and fundamental information, expanding the universe, and testing parameter choices. These suggestions are general rather than a defined revised strategy, and the post supplies no performance results or portfolio construction and exit rules.

Key ideas

• The screen requires daily high-low amplitude above 1%, excludes Beijing A-shares, and selects codes starting with 60.
• The rule focuses on short-term price movement and listing characteristics rather than company fundamentals or long-term trends.
• The document provides example formula and Python implementations but no backtest evidence.
• The author flags the regional exclusion, narrow code filter, and threshold choice as limitations.
• Possible refinements include broader data inputs and testing the parameters across periods and stock types.

Tags

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