Screening A-Shares by Intraday Range, Price, and Market Capitalization

Summary

This post outlines a Chinese equity screen using three conditions: price range above one percent, closing price below 20, and market capitalization above 200 million. It presents the range and price filters as short-term technical criteria and market capitalization as a size-related selection measure. Example formulas are provided in both a stock-screening syntax and Python-style logic, with selected stocks subsequently ordered by trading volume.

The author recommends adding company fundamentals and other trend indicators, while also applying risk controls. The post acknowledges that the screen omits financial condition and that market capitalization alone does not fully capture risk. It does not provide backtest results or define a robust rationale for the thresholds. There is also an inconsistency in how amplitude is calculated between the formula example and the Python example, so the intended reference price should be clarified before implementation.

Key ideas

• The proposed screen combines a range threshold, a low closing-price ceiling, and a minimum market capitalization.
• A formula example calculates range from the high-low spread relative to the close.
• The Python example instead uses the prior close as the amplitude denominator and sorts passing stocks by volume.
• The post suggests incorporating fundamentals, additional technical indicators, and risk controls.
• No performance evidence is given, and the two examples use different amplitude calculations.

Tags

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