Screening Chinese Equities by Range and Two-Day Highs

Summary

This note describes a simple technical screen for Chinese stocks: select observations from 2021 where the daily high-low range exceeds 1% and the current high equals the highest high over the current and prior day. The author frames a large range as a sign of volatility and the two-day high as evidence of a recent upward move, then suggests combining the conditions to form a candidate pool.

The post provides formula and Python examples, but no backtest, performance results, or evidence that the screen predicts future returns. It also gives no entry, exit, or position-sizing rules. The author flags that technical-only selection can ignore company fundamentals and expose traders to short-term speculation, and suggests adding indicators, fundamental filters, and longer-term market context. The examples should be treated as a screening illustration; the stated price conditions alone do not establish that a stock has further upside.

Key ideas

• The screen requires a daily high-low range greater than 1%.
• It restricts candidates to dates in 2021 and highs that match the two-day rolling maximum.
• The post supplies formula and Python implementations of the filter.
• The author warns that technical-only selection can omit fundamental risks and recommends broader analysis and risk controls.

Tags

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