Stock Screening by Price Range, Ten-Day Return, and Capital Strength
Summary
This Chinese equity screen filters for stocks with daily amplitude above a threshold and a positive ten-day return below an upper limit, then ranks candidates by capital strength. The document frames the return range as a way to select stocks that have risen but have not advanced excessively, while capital strength is intended to reflect investor interest. It includes formula and code references for calculating or sorting the signals, but presents no backtest results or measured evidence of profitability.
The stated risks include concentration in individual stocks and possible delays in the capital-strength measure. The author suggests combining the screen with other technical indicators, more stable capital-flow measures, industry research, and fundamental analysis. The document does not define portfolio construction, trading timing, or a risk-management process, so the filters are a starting point for research rather than a complete strategy.
Key ideas
- The screen combines daily amplitude, a bounded positive ten-day return, and capital-strength ranking.
- Capital strength is used as a proxy for market interest, but the document warns that it may lag.
- Concentrating on highly ranked individual stocks can increase stock-specific risk.
- The suggested refinements include other technical indicators, industry analysis, and fundamentals.
- No backtest evidence or complete entry, exit, and portfolio rules are provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.