Screening Shanghai Stocks by Daily Range and Popularity

Summary

This screening rule selects Shanghai-listed stocks with a daily high-low range above 1% of the previous close, then sorts them by an individual-stock popularity measure. The article interprets the range threshold as a way to find more volatile names and popularity as a measure of investor attention. It includes indicator and Python examples for applying the filters and ordering candidates.

The author notes that a popularity ranking can miss other candidates, may be noisy or market-dependent, and omits company fundamentals. Suggested extensions include combining technical and fundamental measures or adding factors such as market value and earnings per share. No backtest, definition of the popularity metric, or evidence that attention predicts returns is provided; the screen therefore identifies active, widely followed stocks but does not establish an investment edge.

Key ideas

• The screen requires a daily range exceeding 1% of the previous close.
• It limits candidates to codes beginning with 60 and ranks them by popularity.
• The write-up treats range as a volatility filter and popularity as an attention measure.
• The author warns that popularity may be noisy and that fundamentals are omitted.
• No backtest or evidence of return predictability is given.

Tags

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