Screening Chinese Stocks by Daily Range and 10-Day Average

Summary

This document presents a Chinese equity screen requiring a daily high-low range greater than 1% of the prior close, an opening price within 5% of the 10-day average closing price, and exclusion of the STAR Market. It supplies indicator-style and Python examples for applying the conditions and describes the range filter as selecting more volatile shares, with the opening-price condition intended to identify stocks near a recent average.

The article offers no backtest, return figures, or evidence that the screen is profitable. Its discussion says that focusing on volatility and price proximity can omit other technical and fundamental information, while excluding STAR Market stocks may rule out promising technology companies. It suggests adding valuation or other company measures, but does not specify a tested rule. The screen is best read as a basic candidate filter; the interpretation of the range and market classification should be checked against the data conventions used.

Key ideas

• The screen selects stocks whose daily range exceeds 1% of the prior close.
• The opening price must be within 5% of the 10-day average closing price.
• Stocks classified as STAR Market are excluded.
• The article provides formula and Python examples but no performance evidence.
• The filters may omit useful fundamentals and exclude some successful technology stocks.

Tags

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