Chinese Equities Screen Using Daily Range, Share Code, and Price Change
Summary
This stock screen selects Chinese equities whose codes begin with 60, whose intraday high-low range exceeds one percent of the prior close, and whose one-day return is below 2.6% but above negative 5%. The document gives both formula-style conditions and a Python example that filters rows using high, low, close, and stock-code fields. It frames the range threshold as a way to find more volatile shares while limiting the daily price move to a specified band.
The screen is a simple short-term filter, not a tested portfolio strategy. The source warns that relying on recent price action can miss company fundamentals and that high-range stocks carry elevated risk; it suggests combining the screen with technical or financial factors. It reports no performance results, transaction assumptions, or portfolio construction rules. The examples also depend on specific Chinese market data conventions, so users would need to verify field definitions and handling of missing or adjusted prices before use.
Key ideas
- The screen requires a daily high-low range above one percent of the previous close.
- It restricts candidates to stocks with codes beginning with 60.
- It accepts daily returns below 2.6% and above negative 5%.
- The source cautions that short-term filters omit fundamentals and do not establish profitability.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.