Selecting Chinese Stocks by Price Range and Company Scale
Summary
The document describes a Chinese equity screening rule that places stocks in a candidate pool when their high-to-low price range exceeds 1%, the trading year is 2021, and company scale is at least 200 million. It gives example implementations in a charting platform’s formula language and Python, using daily high and low prices, the date, and a scale field joined from stock reference data.
The accompanying rationale treats a large daily range as a sign of higher volatility and potential returns, and larger scale as a proxy for stability. These are asserted explanations rather than tested findings: no performance results, validation period, or comparison with alternative screens are provided. The year filter also confines the screen to 2021, so the document does not establish that the selection remains useful in other periods. It advises combining the screen with valuation measures and setting exits according to risk tolerance, but gives no concrete portfolio, entry, or risk-control procedure.
Key ideas
- The screen requires a daily high-to-low range above 1%.\nIt restricts eligible observations to 2021 and company scale of at least 200 million.\nExample formulas show how to express the filters in two different tools.\nThe proposed stability and return rationales are not supported by backtest evidence.\nThe document suggests adding valuation filters and defining exit levels.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.