Chinese Stock Screen Using Daily Range, Prior Limit Status, and Positive Return

Summary

This Chinese-market stock screen selects shares whose daily high-low range exceeds a threshold, that did not close at the upper price limit on the previous day, and whose current-day return is positive. The stated rationale is to avoid very quiet stocks, exclude names that recently surged to the limit, and retain stocks showing upward movement. The article also gives formulas for range and daily return and sketches a data-based selection process with a circulating-market-value filter.

The author cautions that the screen relies on limited price information and does not account for company fundamentals or other technical conditions. Suggested additions include valuation, profitability, and technical measures, along with stop-loss rules and market monitoring. No backtest, return series, benchmark comparison, or transaction-cost analysis is presented. The sample implementation does not clearly operationalize every stated condition, so its code should not be treated as a validated implementation of the full screening logic.

Key ideas

• The screen combines a daily range threshold with a positive current-day return.
• It excludes stocks that reached the upper price limit on the prior day.
• The article proposes a circulating-market-value filter in its code example.
• The author notes that price-only screening can miss fundamental and market risks.
• No evidence of historical performance or robustness is supplied.

Tags

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