Chinese Stock Screen Using Daily Range, Intraday Low, and Return Bounds

Summary

This document describes a rules-based screen for Chinese stocks using three daily price conditions: an intraday range greater than 1%, a session low between 4% and 5% below the prior close, and a closing return between a 5% loss and a 2.6% gain. Its example code also excludes certain securities based on name, market capitalization, and valuation fields. The selection logic therefore looks for wide-range sessions with a substantial intraday drawdown but a close that remains within specified bounds.

The post gives code and a qualitative rationale, but no backtest, market sample, or evidence that the filters identify undervalued or relatively strong stocks. It acknowledges that sharp market changes can alter the meaning of price moves and that return-based conditions may screen out potentially valuable companies. The discussion recommends adding valuation or other technical measures, though the relationship between those additions and improved performance is untested. Data definitions, transaction costs, and portfolio risk controls are not assessed.

Key ideas

• The screen requires a daily high-low range above 1% of the prior close.
• It selects sessions whose low falls within a specified band below the prior close.
• The closing return must lie between a 5% loss and a 2.6% gain.
• The example adds filters for security names, size, and valuation data.
• The post provides no performance evidence and recommends further analysis.

Tags

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