Screening Chinese Stocks by Range, Two-Day High, and Float Capitalization

Summary

This stock screen combines three conditions: a daily price range above 1%, a high equal to the highest high over two days, and circulating market capitalization above 10 billion yuan. The document frames the range and recent high as short-term technical signals, with capitalization used as a company-size filter. It gives formula examples for calculating the range and testing the high, along with sample code for combining the conditions with additional filters.

The source recommends considering profitability, asset quality, growth, and valuation measures to broaden the fundamental assessment. It cautions that market capitalization alone does not establish a company’s value and can be too high or too low. The screen is a selection rule, not a tested strategy: it provides no backtest, comparison benchmark, execution plan, or evidence that the conditions predict returns. Its implementation examples may also need adaptation to a platform’s data conventions.

Key ideas

• The screen selects stocks with a daily range above 1%, a two-day high, and circulating market capitalization above 10 billion yuan.
• It combines short-term price conditions with a company-size filter.
• The examples show how to express the conditions as indicators and combine them with further filters.
• The document suggests adding profitability, asset quality, growth, and valuation measures.
• It provides no backtest or evidence that the screen predicts returns.

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