Chinese Stock Screen Using Daily Range, Turnover, and Prior Low

Summary

This note outlines a Chinese equity screen based on three conditions: daily price range above 1%, prior-day trading value above 60 million, and the current close above the previous session’s low. It frames the range and trading-value filters as measures of price activity and liquidity, while the close-versus-prior-low condition adds a simple short-term price test.

The document gives a formula reference and a Python example for combining the conditions. It does not provide a backtest, performance evidence, or rules for portfolio construction and execution. Its stated caveat is that the screen omits company fundamentals and broader market context, so it may select stocks whose apparent activity does not reflect sound underlying businesses. It suggests adding financial and technical measures, but does not define or validate those additions. The example’s threshold conventions and data handling would need checking before practical use.

Key ideas

• The screen combines a daily range filter with a prior-day trading-value threshold and a close-above-prior-low condition.
• The price range is calculated relative to the current close in the example.
• The document offers formula and Python illustrations but reports no tested performance.
• The rules omit company fundamentals and broader market conditions, which may make selections unreliable.

Tags

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