Chinese Stock Screening by Daily Range, Year, and Prior Limit-Up

Summary

This note describes a Chinese equity screen requiring a daily high-low range greater than 1% of the previous close, a trading date in 2021, and a filter intended to exclude stocks that hit the daily price limit on the prior day. It provides indicator-formula and Python examples for applying these conditions to price data.

The article says a larger range signals higher volatility, but it offers no backtest, return figures, or evidence that the screen selects stronger stocks. The year condition restricts the sample to historical 2021 observations, so the rule as written is not a general current-market screen. The prior-limit-up calculation is also only an approximation based on a 9.8% price threshold, which may not capture all Chinese stock price-limit rules. The author flags short-term speculation and neglect of company fundamentals, and suggests adding fundamental criteria, diversification, and attention to changing market conditions.

Key ideas

• The screen selects observations with a daily range above 1% of the prior close.
• It limits eligible trading dates to 2021.
• A prior-close comparison is used to filter out some stocks after a limit-up day.
• The article provides no performance test and notes that the screen omits fundamental analysis.

Tags

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