Screening Chinese Stocks by Daily Range, Decline, and Popularity

Summary

This stock selection rule looks for shares with a daily amplitude above 1 and a maximum decline between 4% and 5%, then orders qualifying names by popularity. The document presents the screen as combining price movement with market attention. It also gives an example implementation that checks daily price data and sorts a stock universe by a valuation field as a proxy for heat, so that implementation does not clearly match the stated popularity ranking.

No performance results or testing evidence are provided. The author notes that the screen may miss fundamental factors and can be affected by macroeconomic conditions, and suggests adding fundamental analysis and portfolio risk controls. The rule is therefore a screening concept, not a complete trading system: entry, exit, and position sizing are not specified.

Key ideas

• The screen requires daily amplitude above 1 and a maximum decline between 4% and 5%.
• Qualifying stocks are ranked by individual-stock popularity.
• The example code sorts by a valuation field, which may not represent the stated popularity measure.
• The document provides no backtest or performance evidence.
• Fundamentals, macroeconomic conditions, and portfolio risk controls are identified as limitations.

Tags

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