Screening Shanghai-Listed Stocks by Range and Closing Price

Summary

This note outlines a basic screen for Chinese equities whose stock codes begin with 60, whose daily high-to-low range exceeds 1%, and whose closing price is 18.5 yuan. It also proposes sorting qualifying stocks by trading activity. The article illustrates the filter in a charting formula and Python, but the examples differ in details: one range calculation uses the opening price while the other uses it as well, and the Python example sorts by traded value whereas the formula refers to volume. The screen is presented as a way to narrow a stock list, not as a complete portfolio strategy.

The author notes that focusing on volatile stocks may increase risk and exclude other candidates. Suggested additions include market conditions and fundamental data, with stop-loss controls and diversification offered as risk measures. Machine-learning models are also mentioned as a possible avenue for refinement, without implementation details or evidence. The document reports no backtest, returns, transaction-cost assumptions, or out-of-sample results, so it does not show whether these conditions have predictive value or practical profitability.

Key ideas

• The screen selects code-prefix-60 stocks with a daily range above 1% and a closing price of 18.5 yuan.
• The examples sort qualifying stocks by activity, using volume in one version and traded value in the other.
• The author warns that selecting for volatility can increase risk and leave out other potential stocks.
• Market context, fundamentals, stop-loss controls, diversification, and modeling are suggested as additions.
• No backtest or performance evidence is given.

Tags

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