Screening Chinese A-Shares by Intraday Range and 10-Day Return

Summary

This note describes a stock screen for Chinese shares whose codes begin with 60. It selects stocks with a daily high-to-low range greater than 1% of the opening price and a 10-day return above 0% but below 35%. The accompanying examples show how to express the conditions in a charting formula and in Python, with a five-day moving average used to sort candidates.

The rationale is that a larger daily range may indicate active price movement, while a positive but capped recent return is intended to find shares with upward momentum without including the strongest recent gainers. The note offers no backtest, performance figures, or evidence that the filters predict future returns. It also acknowledges that relying on past price movement and limiting the universe by code prefix can miss fundamentals, broader market conditions, and opportunities elsewhere. Its suggestions to add indicators or other filters are ideas for refinement, not tested improvements; the supplied examples also differ in how they calculate the return period.

Key ideas

• The screen selects code-60 shares with a daily high-to-low range above 1% of the opening price.
• It requires the 10-day return to be positive and below 35%.
• A five-day moving average is offered as a sorting measure.
• The note warns that past returns and a restricted stock universe omit fundamental and market context.
• The proposed refinements are not supported by reported backtests or performance evidence.

Tags

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