Screening Chinese Stocks by Daily Range, Year, and 60 Prefix

Summary

The document describes a stock screen combining daily price range, a calendar-year condition, and a stock-code prefix. It treats a range above 1% as a sign of higher volatility and selects securities whose codes begin with 60. The supplied indicator and Python examples show how these filters might be combined, though the Python range calculation uses the closing price as its denominator while the indicator formula uses the low price.

The year condition restricts the screen to 2021 data, so it is a historical filter rather than a forward-looking selection rule. The document offers no backtest results or evidence that the conditions predict returns. Its explanation also misidentifies 60-prefixed shares as Shenzhen listings; this prefix is generally associated with Shanghai-listed equities. It cautions that volatility can increase risk and that code-prefix filtering ignores other relevant factors, suggesting additional fundamental or technical criteria and risk controls.

Key ideas

• The screen combines a daily range threshold, a 2021 date filter, and a 60-prefixed stock code.
• A large daily range indicates price variability but does not establish a return forecast.
• The two example implementations calculate the range using different denominators.
• The document provides no performance evidence and recommends adding further analysis and risk controls.

Tags

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