Chinese Stock Screening by Daily Range and Ten-Day Return

Summary

This proposed Chinese stock screen combines a daily price range above 1% with a positive ten-day return below 35%, and excludes the STAR Market. The author describes the return band as a way to find stocks that have risen without exceeding the stated ceiling, while the range condition favors shares with more price movement. The article also suggests combining the technical filters with company results, financial condition, additional indicators, and position sizing.

The evidence consists of the rule description and example formulas in two implementations; no historical test or trading results are given. The article notes that the method omits fundamental analysis and may be too mechanical. The examples use differing price references and calculations, so their implementation should be validated against the intended definitions before the screen is evaluated.

Key ideas

• The screen requires a daily range above 1% and a ten-day return greater than 0% but below 35%.
• It excludes STAR Market stocks.
• The article suggests adding fundamentals, other technical indicators, and position sizing.
• No performance evidence is provided, and the example implementations do not fully agree on calculation details.

Tags

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