Screening Shanghai-Listed Stocks by Daily Range and Float Market Value

Summary

This basic China A-share screen selects securities whose daily high-low range exceeds one percent of the previous close, whose codes begin with 60, and whose circulating market value falls between 5 billion and 10 billion yuan. The stated rationale is to focus on shares with noticeable price movement and a mid-sized float capitalization. Formula and Python examples express these three filters.

The article does not report a backtest, returns, or evidence that the criteria predict performance. It notes that market capitalization may misstate business value, a single technical or financial measure is incomplete, and short-term movement can distract from company fundamentals. It suggests adding technical and financial factors or using a broader multi-factor approach, while considering industry and longer-term conditions. The screen is therefore a narrow candidate-selection rule, not a complete investment or risk framework.

Key ideas

• The screen requires a daily high-low range greater than one percent of the prior close.
• It restricts candidates to stock codes beginning with 60 and a circulating market value of 5–10 billion yuan.
• The document treats range as a sign of higher volatility and capitalization as a rough size filter.
• It provides no outcome evidence and cautions that these filters omit valuation, fundamentals, and broader risks.

Tags

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