Screening Mainboard Stocks by Volatility, Profitability, Size, and Daily Gains

Summary

This note describes a daily stock screen for mainboard equities that combines an intraday range threshold with a market capitalization cap, positive net profit, and a daily price increase above 1%. It provides example indicator and Python expressions for applying those filters to market data. The accompanying rationale is that larger short-term moves and recent gains may identify active candidates, while positive earnings and a smaller capitalization limit narrow the universe.

The document offers no backtest, performance evidence, or precise evaluation of how the screen behaves over time. It acknowledges that the approach emphasizes recent price action and gives limited weight to company fundamentals; it also notes that the criteria omit additional measures such as valuation or return on equity. It suggests adding financial and industry context, comparing multiple lookback periods, and defining exit rules such as stop-losses and profit targets. The screen is therefore a candidate-generation idea, not evidence of a durable or risk-controlled strategy.

Key ideas

• The screen requires mainboard classification, positive net profit, and market capitalization no greater than 10 billion yuan.
• It also selects stocks with a daily gain above 1% and a high-low range threshold above 1%.
• The proposed rationale combines recent price strength with an earnings filter and a size limit.
• The note provides sample expressions but reports no backtest or measured performance.
• It recommends adding fundamental analysis, multiple time horizons, and explicit exit rules.

Tags

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