Chinese Stock Screening with Price Range, Ten-Day Return, and Concentration

Summary

This note describes a Chinese equity screen combining daily price range, recent performance, and a concentration measure. It selects stocks with an intraday high-low range above 1% of the opening price, a positive but below 35% ten-day gain, and a concentration coefficient below 0.7. The accompanying formula orders candidates by popularity. The suggested rationale is to find shares with some movement and recent gains without an extreme run-up, while filtering on concentration.

The document warns that volatile markets and company fundamentals can undermine the screen, and suggests adding more informative indicators and fundamental data. It provides no backtest, portfolio construction, holding period, or evidence that the criteria improve returns. The description and code also leave details unclear: the title refers to a 70/20% concentration condition, while the text and formula use a coefficient threshold, and the formula's ten-day price expression is not obviously identical to the stated return filter. Treat it as a screening sketch requiring specification and validation.

Key ideas

• The screen combines an intraday range threshold, a bounded ten-day return, and a concentration filter.
• The listed formula sorts selected stocks by a popularity measure.
• The document recommends considering fundamental and financial information alongside technical filters.
• No performance evidence or trading rules are provided, and the concentration and return definitions need clarification.

Tags

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