Screening Chinese Stocks by Range, Exchange Code, and Recent High

Summary

This rule-based screen selects Chinese stocks whose daily high-low range exceeds 1% of the previous close, whose code begins with 60, and whose current high matches the highest high over a recent window. The article initially describes a two-day high condition, then presents a final rule and example formulas using a three-day high. The accompanying indicator and Python examples implement the latter version, combining the range threshold, code prefix, and rolling maximum high.

The post interprets a larger range as higher volatility and a recent high as a possible sign of an upward move, while noting that volatile stocks carry greater risk and a short lookback can miss better entry points. It suggests testing a longer high-price window and adding company information. No backtest, performance evidence, or detailed treatment of transaction costs is provided, and the mismatch between the initial two-day description and final three-day implementation should be resolved before using the rule. The screen identifies candidates; it does not establish that buying them is profitable.

Key ideas

• The range condition compares the daily high-low spread with 1% of the previous close.
• The universe is restricted to stocks with codes beginning with 60.
• The final rule and example implementations select highs matching the rolling three-day maximum, despite an earlier two-day description.
• The article treats larger ranges as higher volatility and recent highs as possible upward confirmation.
• No performance evidence is given, and the proposed signal may expose users to elevated risk.

Tags

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