Screening Stocks by Daily Range, Prior-Day Limit Moves, and Trading Heat

Summary

This Chinese A-share screening concept selects stocks whose daily high-low range exceeds a stated threshold, excludes stocks that reached the daily price limit the previous day, and ranks the remaining names by individual-stock market heat. The rationale is to find actively followed stocks with some price movement while avoiding those associated with the prior day’s limit-up activity. A formula reference defines the range measure relative to the previous close.

The document provides no backtest results or evidence that market heat predicts returns. It warns that attention rankings can reflect sentiment and excessive speculation, and that the screen may overlook companies with sound fundamentals. It recommends considering company performance and additional technical indicators, but does not define how to combine them. The sample code’s sorting and financial-data steps do not clearly implement the stated range, prior-day limit, and heat-ranking conditions, so it should not be treated as a faithful working implementation of the proposed screen.

Key ideas

• The screen uses a daily high-low range threshold and excludes stocks that hit the price limit on the prior day.
• It ranks candidates by a measure of individual-stock market heat.
• The document cautions that attention rankings can reflect speculation and sentiment.
• The sample code does not clearly implement all stated selection conditions, and no strategy performance evidence is shown.

Tags

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