Chinese Stock Screening by Daily Range, Year, and Closing Price

Summary

This note describes a simple Chinese-equity screen combining daily price range, calendar year, and closing price. It selects stocks whose high-to-low range exceeds 1%, whose trading date falls in 2021, and whose closing price equals 18.5 yuan. The article gives example implementations in a charting formula and Python, though the examples use slightly different denominators for the range calculation. The stated rationale is that larger ranges may indicate greater volatility, while the year and price conditions narrow the candidate list.

The author cautions that these criteria are too limited to support a robust investment decision and may misclassify stocks or stop working as market conditions change. Suggested improvements include adding technical and quantitative measures, assessing fundamentals and market demand, and considering valuation measures such as price-to-earnings ratios. No historical performance, universe definition, rebalancing rule, transaction costs, or risk-adjusted results are provided, so the screen should be understood as an illustrative filter rather than a tested trading strategy.

Key ideas

• The screen requires a daily high-to-low range above 1%, a 2021 trading date, and a closing price of 18.5 yuan.
• The article provides example implementations in a charting formula and Python.
• The two examples calculate the range using different price denominators.
• The author warns that a single, narrow set of conditions can create risk and false selections.
• Fundamental, valuation, and additional quantitative measures are proposed as possible complements.

Tags

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