Screening Chinese Stocks by Daily Range, Prior Limit-Up Status, and Valuation

Summary

This stock screen selects Chinese equities with a daily high-low range greater than 1%, excludes stocks that hit the price limit on the previous day, and restricts the historical selection period to 2021. A later version adds a price-to-earnings ratio below 20. The accompanying example describes using market data and fundamentals to filter candidates, then placing equal-sized target allocations in up to ten selected stocks.

The document presents the screen as a way to find volatile stocks for short-term trading and says the added valuation filter is intended to consider fundamentals. It offers no backtest results or evidence that these rules improve returns. The author cautions that volatility alone omits company and industry fundamentals, and that a limited period can miss broader market conditions. It suggests considering fundamental and policy factors and a longer evaluation window. The code reference is illustrative; the document does not establish implementation correctness or specify costs, risk controls, or out-of-sample performance.

Key ideas

• The initial screen requires a daily high-low range above 1% and excludes stocks that were limit-up the prior day.
• The stated selection period is 2021, and the final rule adds a price-to-earnings ratio below 20.
• The example describes filtering equities with price and fundamental data before allocating to selected names.
• The document warns that volatility filters omit important company and market information.
• No performance results are provided to validate the screen.

Tags

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