Chinese Stock Screen for Large Ranges and Two-Day Highs

Summary

This Chinese stock-selection post describes a technical screen combining a daily range above one percent, a low that falls between four and five percent below the prior close, and a high that is the highest of the current and prior two sessions. Its accompanying Python example implements related checks and adds filters that exclude specially marked stocks, require a minimum market value, and cap price-to-book and price-to-earnings ratios. The screen is presented as a way to identify shares with sharp short-term movement and a current high near a recent peak.

The post gives no backtest, return series, or evidence that the setup predicts continued gains. It warns that liquidity, delayed signals, and technical-analysis errors can impair results, and that the screen ignores important company fundamentals. The prose and sample code do not align perfectly: the code checks the current low against the previous close but does not explicitly enforce the stated lower drawdown bound. Treat the rules as an example to validate and refine, not a tested strategy.

Key ideas

• The screen combines a large daily range, a specified downside move from the prior close, and a two-day high condition.
• The example code also filters stocks by listing status, market value, and valuation ratios.
• The post offers no performance evidence or backtest for the selection rules.
• It identifies liquidity, signal delay, technical error, and omitted fundamentals as risks.
• The written criteria and example implementation differ in how they apply the downside threshold.

Tags

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