Screening Chinese Stocks by Range, Ten-Day Return, and Float Value

Summary

The article proposes a Chinese equity screen using three conditions: daily high-to-low range above 1%, a positive but less than 35% return over ten days, and circulating market capitalization above 10 billion yuan. It interprets the range as a volatility measure, the return band as a way to avoid the most extreme recent gains, and the capitalization floor as a rough proxy for market presence and stability. It also supplies example screening logic for two platforms.

The article offers no historical backtest or evidence that the filters predict returns. It cautions that capitalization alone can exclude some lower-valuation stocks, and that price range and recent performance do not ensure an opportunity. It recommends considering fundamentals, valuation, industry, and broader market conditions, and adjusting criteria over time. One platform example also includes a price condition that is not explained in the stated three-part screen, so implementations should be checked for consistency.

Key ideas

• The proposed screen combines daily range, ten-day return, and circulating market capitalization filters.
• It selects stocks with a daily range above 1%, a ten-day gain between 0% and 35%, and float capitalization above 10 billion yuan.
• The author treats range as a volatility measure and recent return as a way to exclude extreme movers.
• The article gives no backtest or evidence that the screen improves returns.
• It recommends supplementing the filters with fundamentals, valuation, industry, and market context.

Tags

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