Screening A-Shares by Intraday Range and Circulating Market Capitalization

Summary

This stock-selection rule filters for shares with an intraday high-to-low range above 1% and circulating market capitalization between 5 billion and 10 billion yuan. The article frames the range threshold as a way to favor more actively moving stocks and the capitalization band as a way to focus on medium-sized companies. Its final rule uses the 5-to-10-billion band, although an earlier description also mentions a greater-than-100-billion condition, creating an internal inconsistency.

The document provides example formula and Python logic and specifies Shanghai main-board stocks in its formula example. It does not supply backtest results or evidence that the filters improve returns. It notes that market capitalization screens omit company fundamentals, industry conditions, and total market capitalization. Suggested refinements include additional technical measures and fundamental or industry filters; practical use would also depend on consistent data definitions and handling of the conflicting size criteria.

Key ideas

• The central screen combines an intraday range above 1% with circulating capitalization from 5 billion to 10 billion yuan.
• The formula example further restricts the universe to Shanghai main-board listings.
• The article gives implementation examples but reports no performance test.
• It flags missing fundamental, industry, and total-market-capitalization considerations.
• The description conflicts about whether a capitalization threshold above 100 billion yuan is also required.

Tags

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