Chinese A-Share Screening by Daily Range and Board Exclusions
Summary
This Chinese A-share stock screen selects shares with a daily high-low range above a stated threshold, while excluding Beijing-listed stocks and specified board categories. The article also describes a refinement that keeps prices close to a 60-period moving average, then applies positive valuation filters and ranks price-to-earnings and price-to-book measures. It presents both a formula-style description and a Python example, though some details of the stated exclusions and code do not align perfectly.
The article warns that a range-based technical filter can overlook company fundamentals and industry conditions, may miss candidates through classification errors, and cannot distinguish a lasting trend from a short rebound. It suggests adding fundamental analysis and risk controls, including take-profit and stop-loss rules. No backtest results or evidence of predictive performance are supplied, and the proposed valuation selection logic is not fully explained.
Key ideas
- The initial screen combines a daily range threshold with geographic and board exclusions.
- A refinement filters for prices near a moving average and uses valuation metrics.
- The article identifies weak fundamental coverage and trend ambiguity as key limitations.
- It proposes additional fundamental inputs and risk controls but provides no performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.