Screening Chinese Stocks by Daily Range and Circulating Market Value
Summary
The document presents a stock screen requiring daily price amplitude of at least one percent, circulating market value above 10 billion yuan, and exclusion of the STAR Market. Its rationale is to focus on larger companies with noticeable trading movement while avoiding one market segment. The article includes indicator conditions and a Python example that fetches stock and daily data, applies the filters, and randomly samples from qualifying names.
The screen uses trading activity and company size, but the article acknowledges that it omits company fundamentals and may be affected by market popularity. It recommends adding fundamental, technical, and industry analysis and diversifying across industries. No backtest or evidence of returns is presented. The sample code also relies on specific data-provider fields and dates, and its random selection step does not define portfolio sizing or risk controls.
Key ideas
- The screen selects stocks with daily amplitude of at least one percent and circulating market value above 10 billion yuan.
- It excludes stocks from the STAR Market.
- The example code randomly samples from stocks that pass the filters.
- The article cautions that the rules omit fundamentals and may reflect market heat.
- It offers no backtest results or portfolio risk controls.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.