Screening Shanghai-Listed Stocks by Daily Range and Decline

Summary

The document describes a stock screen that selects securities whose codes begin with 60, whose daily amplitude exceeds 1, and whose daily decline lies between 4% and 5%. It presents the screen as a way to find volatile stocks that have fallen sharply, then suggests using further analysis before making investment decisions. It also gives example formulas and a Python sketch for applying the conditions.

The post warns that restricting the universe by code prefix narrows coverage and that sharp price moves can reflect noise or limit-up and limit-down behavior. It suggests adding fundamental and technical measures, but reports no backtest, return data, or validation. There is also a potential unit ambiguity: the prose specifies percentage declines, while the example condition uses decimal values, so an implementation should confirm how its data source expresses percentage change and amplitude before relying on the screen.

Key ideas

• The screen requires a code prefix of 60, daily amplitude above 1, and a daily decline between 4% and 5%.
• The post provides formula and Python examples for selecting stocks that meet the stated conditions.
• The code-prefix restriction narrows the stock universe and may leave out relevant securities.
• Sharp declines and trading-limit behavior can add noise and make the screen unstable.
• The examples should be checked for consistent percentage units, and the post provides no backtest evidence.

Tags

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