Screening Shanghai-Listed Stocks by Daily Range and Float Value

Summary

The document describes a stock selection rule that filters for shares with a daily high-low range exceeding one percent of the previous close, codes beginning with 60, and circulating market value of at least 200 million. It then ranks qualifying stocks by popularity. The article interprets the range condition as selecting more volatile shares and the code prefix as restricting the eligible market segment; it characterizes the size threshold as targeting relatively smaller companies.

It provides example formula and Python implementations of the same filters, along with general suggestions to add fundamental measures and risk controls. The selection rule is a screening recipe, not a complete portfolio or trading strategy: it specifies no entry and exit process, holding period, transaction cost model, or position sizing. No backtest results are reported, and the text acknowledges that narrow filters, high volatility, and reliance on company size alone can lead to risk or an incomplete investment assessment.

Key ideas

• The screen selects stocks whose daily high-low range exceeds one percent of the prior close.
• It restricts candidates to codes beginning with 60 and float value of at least 200 million.
• Qualifying stocks are ranked by popularity.
• The document suggests adding fundamental measures and risk controls.
• No trading rules or performance test results are provided.

Tags

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