Screening Shanghai Stocks by Daily Amplitude

Summary

This note describes a simple Chinese-equity screen: select stocks whose daily high-low range exceeds 1% of the previous close, whose codes begin with 60, and which are outside the STAR Market. It provides corresponding formula and Python examples, making the conditions straightforward to reproduce. The author interprets the amplitude threshold as a way to find more volatile stocks and the code prefix as a market filter.

The post gives no backtest, performance evidence, holding period, or trading rules for turning the screen into positions. It cautions that a price-only screen can overlook company fundamentals and suggests combining financial information with technical indicators. Its claim that excluding STAR Market stocks avoids some overvalued shares is not supported with evidence, and the screen may miss rebounds among stocks with lower prices. Treat it as a basic universe filter rather than a validated strategy.

Key ideas

• The screen requires a daily high-low range greater than 1% of the previous close.
• It limits candidates to stock codes beginning with 60 and excludes the STAR Market.
• The post provides example implementations in a formula language and Python.
• The screen has no reported backtest or defined entry, exit, or position-sizing rules.
• The author suggests adding financial and technical factors to broaden the selection process.

Tags

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