Screening Chinese Stocks by Trading Range, Float Size, and Control

Summary

This note describes a Chinese equity screening rule that combines a daily price-range threshold, a minimum threshold for circulating market value, and a measure of controlling shares above a specified level. It presents the rule as a way to find larger companies with relatively high price movement and substantial control by shareholders. The document includes a formula reference and a Python example for applying these filters to stock data, but it provides no performance results or backtest evidence.

The author cautions that the controlling-shares measure can be affected by broader market conditions and company news, so relying on it alone may be unreliable. The screen also omits fundamental analysis. Suggested extensions include adding technical and financial measures or using machine learning, though no validation method is provided. The examples contain discrepancies: the formula describes yesterday’s high-to-low ratio, while the prose refers to amplitude, and the Python example applies different filters in places. These inconsistencies make careful definition and data checking important before implementation.

Key ideas

• The screen combines a price-range condition, a minimum circulating market value, and a controlling-shares threshold.
• The note interprets the price range as a measure of volatility and the control measure as a signal about shareholding or fund flows.
• The document provides formula and Python examples but reports no backtest or live-trading evidence.
• The author warns that market conditions and company news can make the control measure unreliable on its own.
• The examples do not implement identical rules, so the intended thresholds and lookback period should be clarified.

Tags

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