Screening Mainland Chinese Stocks by Intraday Range and Return

Summary

The document presents a stock selection screen that excludes Beijing-listed shares and applies two price filters: an intraday range above 1% and a return greater than -5% but below 2.6%. It provides equivalent screening logic and example implementations for a Chinese stock research platform, using high, low, current close, and previous close data. The intended approach is a simple volatility and return filter, without a stated holding period, entry rule, or portfolio construction method.

The accompanying discussion warns that temporary price movements and market sentiment can affect selections, and that screening only on range and return may overlook company fundamentals and liquidity. It suggests adding valuation and liquidity measures and adjusting risk controls. No backtest, performance figures, or evidence of predictive value are presented, and the example code contains implementation details that would need checking against the intended data fields and platform behavior before use.

Key ideas

• The screen excludes Beijing shares and selects stocks with an intraday range above 1%.
• Selected stocks must have returns between -5% and 2.6%, excluding both endpoints.
• The document illustrates the filters with formula and platform code examples.
• It warns that short-term price movement may reflect temporary factors rather than business value.
• Valuation, liquidity, and risk controls are suggested as possible additions, but no performance evidence is supplied.

Tags

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