Screening Stocks by Daily Range, Two-Day High, and Bounded Return

Summary

This Chinese stock-screening note filters for daily amplitude above 1%, a high equal to the highest level over two days, and a return below 2.6% but above negative 5%. It frames the bounded return condition as a way to avoid stocks that have already moved sharply while looking for potential candidates. The document provides example formulas and a short Python outline for combining the conditions.

The note suggests that the filters may reduce short-term risk, but reports no backtest, candidate counts, or performance data. It warns that a technical screen based on range, highs, and recent return cannot assess company quality, future prospects, or broader market risk. It recommends adding technical and fundamental measures, such as RSI, valuation, revenue growth, and business conditions, but does not test those additions. Its stated rationale should therefore be read as a hypothesis for screening rather than demonstrated evidence of an advantage.

Key ideas

• The screen requires amplitude above 1% and a high equal to the maximum of the current and prior day.
• It limits returns to below 2.6% and above negative 5%.
• The note includes formulas and a Python outline but gives no historical results.
• It cautions that price filters alone do not evaluate company quality or market-wide risk.
• Additional technical and fundamental filters are suggested but not evaluated.

Tags

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