Stock Screening by Daily Range, Drawdown, and Company Type
Summary
This Chinese-language post describes a stock-selection rule that combines a daily amplitude threshold, a daily decline bounded between four and five percent, and a company-type or industry filter. It presents the screen as a way to build a stock pool for rotation and provides example implementations in a charting formula and Python using market data.
The discussion offers no backtest results or evidence that the filters are profitable. It notes that policy shifts and industry changes can affect company fundamentals, and that the screen omits financial measures and capital flows. The company-type condition is left unspecified, and the examples use placeholder industry names, so the rule cannot be reproduced fully without additional choices. The post suggests adding indicators associated with mean reversion or trend following and broadening the fundamental and market data considered; these are suggestions rather than tested improvements.
Key ideas
- The screen requires daily amplitude above one and a daily decline between four and five percent.
- It adds a company-type or industry condition whose exact values are not supplied.
- The post frames the selection rule as potentially useful for stock rotation but provides no performance evidence.
- It identifies policy, industry, financial, and capital-flow factors as limitations or omitted inputs.
- It suggests exploring mean-reversion and trend-following indicators as possible refinements.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.