Screening Shanghai-Listed Stocks by Intraday Range and Float Size

Summary

The document describes a Chinese equity screen using three conditions: intraday amplitude above 1%, a stock code beginning with 60, and a circulating share count no greater than 5.5 billion. Its rationale is that larger daily ranges may offer more trading opportunity, while smaller floats may attract flows and move more sharply. The accompanying Python example adds a ranking filter based on where the close sits within the prior 50-session high-low range, retaining stocks with a score above 0.8 and sorting by that score.

The post provides example implementations for Supermind-style indicators and Python, but it does not present a historical test, performance results, or evidence that the screen predicts returns. It flags the volatility and price-impact risks of small-float stocks and suggests combining the screen with financial statements or other technical indicators. The stated criteria and sample code may not align perfectly in their treatment of float size, so users would need to verify data fields and units before applying the screen.

Key ideas

• The screen selects stocks with intraday amplitude above 1% and codes beginning with 60.
• It limits candidates by circulating share count, though the post's code and prose may use different units.
• The Python example ranks candidates by their close relative to the 50-session high-low range.
• Higher volatility and small floats can amplify both opportunity and price risk.
• The post offers no backtest or evidence that the screen generates profitable trades.

Tags

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