Screening Chinese A-Shares by Daily Range and Decline

Summary

This note describes a simple A-share stock screen using three conditions: daily amplitude above 1, a daily maximum decline between 4% and 5%, and exclusion of Beijing-listed shares. It also gives example indicator and Python implementations intended to identify stocks for subsequent investment decisions. The stated rationale is to focus on price movement while avoiding exposure to companies associated with Beijing; the note itself does not provide historical results or evidence that these filters improve returns.

The author flags that short-term price behavior and geographic exclusions can overlook company fundamentals, long-term potential, or regional opportunities. Suggested refinements include adding profitability, growth, financial health, and macroeconomic considerations. The examples should be interpreted cautiously: the prose describes a maximum decline, while the code appears to filter percentage change, and the geographic exclusion may not capture the intended market classification consistently. No trading rules for entries, exits, position sizing, or validation are supplied.

Key ideas

• The screen selects shares with daily amplitude above 1 and a decline between 4% and 5%.
• It excludes Beijing A-shares based on a geographic classification.
• The note offers example implementations but reports no backtest or performance evidence.
• The author recommends adding fundamental and macroeconomic filters to address the screen's narrow scope.

Tags

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