Stock Screening with Trading Range, Relative Volume, and Recent Returns

Summary

This article describes a Chinese-equity screen combining a minimum daily high-low range, relative volume within a specified band, and a positive return over a recent period. It interprets the range as a way to find active stocks and the volume band as a way to identify increased but not extreme trading activity. The text recommends adding longer-term trend, fundamental measures, and risk controls to make the screen more comprehensive.

The document includes formula and Python examples, but it provides no backtest results or evidence that the criteria predict future gains. It cautions that the screen may select risky stocks and that a short-term return filter omits longer-term performance and fundamentals. The examples also appear inconsistent: the written rule calls for a minimum range, while the formula and Python condition use a maximum-range comparison; the prose and code differ on the relative-volume lower bound as well. Those discrepancies should be resolved before attempting to implement the screen.

Key ideas

• The proposed screen combines daily price range, relative volume, and a positive recent return.
• The article suggests adding fundamentals, longer-term trend measures, and risk controls.
• No backtest or predictive-performance evidence is reported.
• The written criteria and sample implementations contain threshold inconsistencies that need review.

Tags

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