Screening Chinese Stocks by Price Range and Tradable Share Count

Summary

This proposed Chinese A-share screen selects stocks whose prior session’s high-low range exceeds 1% of the prior close, whose tradable share count is no more than 5.5 billion, and that are not listed on the STAR Market. The document presents the conditions as a way to find more volatile, potentially short-term candidates while excluding larger share floats and one market segment.

It explains how to combine the three filters and gives example formulas for a stock-screening platform and Python. It offers no backtest, performance statistics, or evidence that the conditions predict returns. The author cautions that short-term price movement can overlook longer-term trends and fundamentals, and that the screen may be incomplete or perform poorly. Suggested refinements include adding other indicators or fundamental analysis, adapting conditions to market context, and controlling drawdown and trading frequency.

Key ideas

• The screen requires a prior-session high-low range above 1% of the prior close.
• It caps tradable shares at 5.5 billion and excludes STAR Market listings.
• The document provides example implementations for a screening formula and Python.
• The rules are presented without backtest evidence and may omit fundamentals and broader market conditions.
• Suggested refinements include adding indicators, adapting filters to market context, and limiting drawdown and trade frequency.

Tags

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