Screening Shanghai-Listed Stocks by Price Range and Position Growth

Summary

This Chinese equity screen selects stocks with daily amplitude above 1%, codes beginning with 60, and a reported increase in position share greater than 5%. The accompanying formula estimates amplitude from the day’s high and low relative to the prior close, uses the code prefix to restrict the universe, and compares a price-volume expression with a threshold. A Python example instead filters a field labeled today’s position increase, so the exact construction of that measure is not consistently established in the note.

The rationale is that larger price swings indicate volatility, the code prefix defines the chosen market segment, and rising position share may reflect demand. The document warns that the signal can miss fundamentals, technical measures may lag, and position-share data may reflect speculation rather than informed sentiment. It suggests combining financial and operating measures, signal trends, and flow data. No backtest results or return evidence are given, and the rules do not define trade execution, exits, or position sizing.

Key ideas

• The screen requires amplitude above 1% and stock codes beginning with 60.
• It adds a reported position-growth threshold above 5% as a demand signal.
• The formula and Python example do not clearly define the same position-growth measure.
• The note flags missing fundamentals, lagging indicators, and speculative flows as risks.
• It presents no test results or complete trading rules.

Tags

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