Stock Screening by Price Range, Trading Activity, and Ownership Concentration

Summary

This Chinese equity screen selects stocks with a daily high-low range above a stated threshold, prior-day trading activity above a stated amount, and ownership concentration no greater than 70%. The note interprets range and trading activity as signs of market activity, while the concentration cap is intended to limit exposure to stocks with highly concentrated holdings. It includes formula and Python examples for calculating these filters and combining results.

The author warns that concentration limits may screen out otherwise attractive firms and that the screen can miss undervalued companies with growth potential. The document recommends adjusting thresholds for market conditions and sectors, and adding measures such as price-to-earnings and price-to-book ratios. The examples do not establish predictive value: no backtest, return data, or validation is provided, and the prose and sample implementation describe the activity thresholds somewhat differently.

Key ideas

• The screen combines a minimum daily price range and prior-day trading activity with a maximum ownership concentration.
• The concentration ceiling is presented as a way to avoid stocks with overly concentrated holdings.
• The criteria may exclude undervalued or otherwise high-quality companies.
• The author recommends adapting thresholds to market and sector conditions and adding valuation measures.
• The document provides screening examples but no performance validation.

Tags

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