Screening Chinese Stocks by Intraday Range, Float Size, and Three Down Closes

Summary

This post presents a Chinese equity screening rule combining three conditions: a daily high-low range above a threshold, circulating market capitalization above a threshold, and three consecutive falling closes. The author interprets range as a measure related to trading activity and company size as a scale filter, while the consecutive declines identify stocks under recent selling pressure. Formula and Python examples are included to illustrate how the conditions could be applied to market data. The post characterizes the screen as selecting weak recent performers and cautions that buying into a short-term decline carries risk. It also notes that the rule omits fundamentals and that high range can reflect greater volatility. Suggested refinements include adding technical measures and fundamental growth data. No backtest, return series, benchmark comparison, or evidence of predictive value is supplied, and the provided implementation details should not be treated as validated strategy results.

Key ideas

• The screen combines a minimum daily price range, a minimum circulating market value, and three consecutive declining closes.
• The consecutive declines are intended to identify stocks facing recent selling pressure.
• The author warns that the rule omits fundamental information and that volatile stocks may carry greater risk.
• Possible extensions include additional technical indicators and company growth measures.
• The post provides no backtest or evidence that the screening rule predicts returns.

Tags

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