Screening Chinese Stocks by Daily Range and Relative Volume

Summary

This stock screen combines a daily high-low range threshold with a historical date filter and a relative-volume band. It looks for shares whose range exceeds 1% and whose volume is between 1.5 and 6 times a 24-period moving average, restricted to trading dates in 2021. The document gives both indicator-formula and Python examples, though the Python range calculation uses the closing price as its denominator while the formula uses the low price.

The rationale is that a larger range may indicate higher volatility and elevated, but not extreme, volume may signal increased activity. The author acknowledges that these conditions alone can produce misleading selections, miss attractive stocks, or exclude popular names. They suggest adding measures such as growth and valuation, using a scoring system, and revisiting the volume band. No backtest results or evidence of profitability are reported, and the fixed historical year limits the screen's direct use as a current strategy.

Key ideas

• The screen selects Chinese stocks with a daily range above 1% and relative volume between 1.5 and 6.
• Relative volume is calculated against a 24-period average in the examples.
• The selection is limited to trading dates in 2021.
• The document cautions that a few screening conditions can produce false signals or omit candidates.
• Growth, valuation, and a multi-factor scoring approach are proposed as possible additions.

Tags

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