Screening Equities by Daily Range, Prior Limit Status, and Market Value

Summary

This short Chinese strategy post proposes screening equities for a daily high-low range above a threshold, excluding stocks that hit the upper price limit on the previous day, and requiring market value above a stated minimum. It presents the range as a measure of price movement and combines it with a prior-session market condition and a size filter. A formula reference defines the range relative to the previous close, and a Python example demonstrates part of the market-value filtering process.

The post offers no backtest, performance evidence, benchmark, or execution rules, so it does not establish that the conditions identify attractive investments. The code example does not implement all three stated filters, and the narrative’s risk discussion is brief. It suggests adding industry, market, financial, and technical information before using the candidates. The criteria also leave important implementation choices unspecified, including how to interpret the range threshold, when to rebalance, and how to handle price-limit constraints and transaction costs.

Key ideas

• The proposed screen combines a daily range condition, prior-day limit status, and a minimum market value.
• The formula measures the high-low range relative to the previous close.
• The supplied Python example only partially reflects the full screening rule.
• No backtest or comparative results are provided to support the screen’s effectiveness.
• Further financial and market analysis, plus execution details, would be needed for implementation.

Tags

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