Screening Shanghai Stocks by Daily Range and Moving-Average Trend

Summary

This note describes a Chinese equity screening rule that selects Shanghai-listed stocks whose daily high-low range exceeds 1% of the previous close and whose 20-day moving average is above the 120-day average. The range condition is intended to find more volatile shares, while the moving-average comparison acts as a broad indicator of a stronger recent trend. The article includes formula and Python examples and mentions ranking selected names by market attention.

It cautions that volatility can complicate risk control, the exchange-code filter does not identify quality companies, and moving averages alone provide an incomplete view. It suggests adding fundamental measures and risk controls. No backtest, return data, or evidence of predictive performance is provided, so the screen is best understood as a candidate-generation method rather than a validated strategy.

Key ideas

• The screen requires a daily high-low range above 1% of the previous close.
• It limits candidates to stocks with codes beginning with 60.
• The 20-day moving average must exceed the 120-day moving average.
• The note recommends adding fundamental analysis and risk controls, but reports no performance test.

Tags

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