Chinese Stock Screening by Intraday Range and Opening Gain

Summary

This document presents a Chinese equity screen based on three conditions: price range during the session must exceed 1% of the open, the stock code must begin with 60, and the 9:25 gain must be below 6%. It explains the range filter as a way to select more volatile stocks and frames the opening gain ceiling as a basic control against exceptionally large gaps.

The article includes formula and Python examples, but it reports no backtest or measured performance. It cautions that focusing only on volatile stocks with a capped opening gain can exclude other candidates, and that market capitalization and tradable capitalization can vary. Suggested extensions include market and financial data, industry or fundamental analysis, and machine-learning models. These are proposals rather than tested improvements, and the screen alone does not establish a stock’s investment value.

Key ideas

• The screen selects stocks whose high-low range exceeds 1% of the open.
• It restricts candidates to codes beginning with 60 and a 9:25 gain below 6%.
• The article presents volatility and gap control as the rationale for the filters.
• It reports no backtest evidence and notes that the screen can overlook other candidates.
• Market, financial, industry, and fundamental measures are suggested as possible additions.

Tags

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