Screening Chinese A-Shares by Daily Range and Two-Day High

Summary

The document describes a simple stock screen combining three conditions: daily amplitude above 1%, the current high matching the highest high over two days, and a stock code beginning with 60. The first two conditions target recent price movement and a short-term high; the code prefix restricts the universe to a subset of Chinese listed shares. It gives indicator formulas and illustrative code, but no performance results or evidence that the conditions predict returns.

The discussion flags the screen’s focus on short-term activity and momentum, which may encourage chasing recent price strength while overlooking company fundamentals and longer-term performance. It also notes that restricting symbols by code can exclude other candidates and does not establish stock quality. Suggested refinements include adding technical and fundamental criteria and widening the eligible universe. These are broad suggestions rather than a specified, tested model, and the example’s additional filters are left undefined.

Key ideas

• The screen selects shares with amplitude above 1%, a two-day high, and a code beginning with 60.
• The price conditions emphasize recent volatility and short-term strength.
• A code prefix alone does not indicate a company’s quality and can narrow the opportunity set.
• The document recommends adding technical and fundamental measures, but does not define or test them.

Tags

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