Chinese Stock Screen for Large Daily Swings and Mid-Range Float Value

Summary

This document describes a Chinese equity screening rule combining daily price movement and circulating market value. It selects stocks with an intraday amplitude above 1%, a daily low between 4% and 5% below the prior close, and circulating market value between 5 billion and 10 billion yuan. It gives corresponding indicator formulas and sample Python code for screening stocks, alongside suggestions to add valuation or financial measures such as price-to-earnings, price-to-book, or dividend yield.

The article offers no backtest, performance figures, or evidence that the screen predicts returns. Its prose frames the filters as a way to find stocks of moderate size during volatile trading, but provides no rationale supported by data. The sample implementation also does not fully match the stated rule: it checks for a low at least 4% below the prior close without enforcing the 5% upper bound, and its market-value units and extra filters may not align cleanly with the stated criteria. Market conditions and the chosen size range can affect which stocks qualify.

Key ideas

• The screen combines intraday amplitude, daily low relative to the previous close, and circulating market value.
• The stated daily low must fall between 4% and 5% below the previous close.
• The article suggests adding valuation or financial measures to refine the candidates.
• The sample code does not implement every stated condition consistently.
• No backtest or evidence of investment performance is provided.

Tags

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