Screening Non-KSTAR Stocks by Daily Range in 2021

Summary

The document describes a historical stock screen that selects non-KSTAR-board Chinese stocks on dates in 2021 when the daily high-low range exceeds 1% of the low. It presents the range as a measure of elevated price movement that may identify stocks with larger potential moves, and excludes KSTAR shares as a board-based filter.

The article includes formula and Python examples for applying the range, year, and board conditions to daily data. The selected stocks are sorted by closing price in the example, but the document does not define a purchase, holding, or exit rule. It acknowledges that excluding one board does not remove risk and that the screen omits company fundamentals; it suggests adjusting the filters and adding technical and fundamental analysis. No backtest results or evidence support the proposed relationship between a large daily range and future returns, so this is a candidate-generation rule rather than a demonstrated strategy.

Key ideas

• The screen selects dates in 2021 when a stock's high-low range exceeds 1% of its low.
• It excludes stocks on the KSTAR board.
• The example sorts qualifying observations by closing price but provides no trading or exit rules.
• The document notes that the screen omits fundamentals and does not eliminate risk.
• No backtest or future-return evidence is included.

Tags

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