Chinese Stock Screening with Range, Control, and Two-Day High Filters

Summary

This Chinese stock-screening example selects equities using three conditions: daily amplitude above 1, a reported controlling-shareholder measure whose absolute daily change exceeds 21, and the latest high matching the maximum high over a two-day window. The article gives both indicator-formula and Python-style examples of applying the filters, then sorting selected stocks by a funds-flow rank. The implementation details vary slightly in how the amplitude and shareholder thresholds are represented, so users would need to confirm units and data-provider definitions before relying on the screen.

The accompanying commentary characterizes the screen as combining volatility, shareholder control, and short-term price action. It cautions that short-term signals may overlook longer-term company value and that prices respond to fundamentals and broader market conditions. It suggests adding technical indicators and fundamental measures, then evaluating the combined screen with strategy statistics such as win rate and annualized return. However, it supplies no backtest, performance results, or evidence that the filters predict returns; the suggested additions are proposals rather than tested improvements.

Key ideas

• The screen combines an amplitude threshold, a controlling-shareholder change filter, and a two-day high condition.
• The article illustrates the selection logic with both formula-style and Python-style examples.
• A funds-flow ranking is used to order stocks that pass the conditions.
• The article warns that short-term price filters can omit fundamental and longer-term considerations.
• It proposes broader indicators and performance evaluation, but reports no validation results.

Tags

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