Screening Chinese Equities by Range, Volume, and Opening Strength

Summary

This post proposes a short-term stock screen using four conditions: daily range above one percent, current trading volume above ten thousand lots, an opening price above the prior close, and a proprietary “today control” measure above 21. It frames range and volume as signs of activity, the higher open as potential upward momentum, and the control measure as a risk-related filter. The post also provides example formula and Python implementations, then suggests adding market, sector, company fundamentals, moving averages, and other risk measures.

The document offers no historical test results or evidence that the screen improves returns. It acknowledges that the initial rules omit fundamentals and broader market and sector conditions. The provided implementations may not consistently match the stated screen, and the meaning and calculation of the control measure are not fully explained. The selection criteria are therefore a screening concept, not a validated strategy or a complete risk-control process.

Key ideas

• The proposed screen combines daily range, trading volume, opening strength, and a control metric.
• The post presents the rules as a short-term stock selection approach.
• It recommends adding market, sector, fundamental, and technical analysis.
• No backtest results are given, and the control metric is not fully defined.

Tags

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