Screening Shanghai-Listed Stocks by Daily Range in 2021

Summary

This post describes a historical stock screen for shares whose codes begin with 60 and whose daily high-to-low range exceeds 1% of the opening price. It restricts observations to 2021 and ranks qualifying rows using a 50-period measure based on the distance from the close to the rolling high, scaled by the rolling high-low range.

The author explains that a large range may indicate volatility and possible profit potential, while cautioning that past price movement does not capture other future influences and that a market-code filter overlooks company fundamentals. Suggested refinements include combining the screen with indicators such as MACD or RSI and assessing investment suitability. The post supplies indicator-platform and Python examples, but provides no performance results, risk-adjusted evidence, or validation of the ranking rule. The screen is therefore a selection recipe rather than evidence of a profitable strategy.

Key ideas

• The screen selects stocks with codes beginning in 60 and daily range greater than 1% of the open.
• The stated sample period is 2021.
• Qualifying observations are ordered using a 50-period price-range calculation.
• The author notes that a volatility-only screen can overlook fundamentals and future conditions.
• The post suggests adding technical indicators but does not report backtest results.

Tags

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