Screening Stocks by Daily Range and Prior-Day Limit Status

Summary

This Chinese stock-screening note describes selecting shares with a daily high-low range above 1%, excluding those that closed at the daily price limit on the previous day, and requiring trading activity during 2021. It presents volatility as a way to find active candidates and the prior-day exclusion as a filter against unstable rapid advances. The article also suggests combining the screen with valuation measures, technical indicators, sector context, and macroeconomic conditions.

The evidence is a stated selection recipe and a brief Python example that queries daily stock data; it provides no backtest, performance figures, or validation. The example’s conditions do not fully correspond to the prose: it checks a nonzero percentage change and computes a range ratio, while the described lookback and limit-up exclusion are not clearly implemented. The proposed additions are recommendations rather than tested improvements, and the note cautions that relying on past trading activity or technical filters alone can miss relevant fundamentals.

Key ideas

• The screen looks for stocks with a daily high-low range above 1%.
• It excludes stocks that were limit-up on the prior day and refers to trading activity during 2021.
• The article recommends adding valuation, technical, sector, and macroeconomic considerations.
• No historical performance evidence is supplied, and the code example does not clearly implement every stated condition.

Tags

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