Screening Stocks by Daily Range, Rounded Price Shape, and Market Board

Summary

This note presents a Chinese equity screen that selects stocks with a daily high-low range of at least one percent of the open, a price measure close to the higher of the five- and twenty-day moving averages, and exclusion of the STAR Market. It supplies example formula and Python logic, including a tolerance for the price-to-moving-average condition. The author interprets the range filter as seeking active trading and the rounded-shape condition as seeking relatively gradual movement around moving averages. No backtest, selected-stock examples, or performance evidence is provided.

The article warns that the rules are narrow and omit fundamentals, so they may admit weak companies and carry investment risk. It proposes adding indicators such as KDJ and fundamental filters. The screen itself does not define trade timing, exits, sizing, or portfolio controls. Its claimed relationship between the shape condition and smoother price movement is an interpretation, not an empirical result demonstrated in the note.

Key ideas

• The screen combines a minimum daily range, proximity to short moving averages, and exclusion of the STAR Market.
• The formula and sample code illustrate how the conditions can be implemented.
• The article offers no backtest or evidence that the screen predicts returns.
• The author warns that narrow technical rules can select weak companies and omit fundamental risk.
• Additional technical and fundamental filters are proposed as refinements.

Tags

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