Screening Shanghai Stocks by Intraday Range and Relative Volume

Summary

This note describes a daily stock screen for shares whose codes begin with 60, whose high-to-low range exceeds 1% of the opening price, and whose volume ratio is between 1.5 and 6. The volume ratio is calculated against the five-day average volume. A sample formula expresses these filters and ranks qualifying shares by that ratio; a Python example shows comparable filtering logic.

The rationale is to find relatively active, volatile shares in a selected Chinese market segment. The note cautions that focusing on volatility and trading activity can exclude other worthwhile stocks, and that T+1 trading constraints and broader market conditions can affect volume and range. It suggests adding market, financial, industry, or fundamental criteria and using stop-loss or profit-taking controls. No historical performance, portfolio rules, or evidence of profitability is provided, so the screen is a candidate-selection heuristic rather than a validated trading strategy.

Key ideas

• The screen requires a 60-prefixed stock code and an intraday range above 1% of the opening price.
• It keeps stocks with volume at 1.5 to 6 times their five-day average.
• Qualifying stocks are ranked by relative volume.
• The document recommends combining these filters with market, fundamental, or risk controls.
• No performance test is presented.

Tags

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