A Chinese Stock Screen Using Price Range and Turnover

Summary

The post proposes a Chinese equity screening rule combining daily price range, calendar year, and turnover. It selects stocks whose high-low range exceeds one percent, whose observation falls in 2021, and whose turnover lies between two and nine percent. The stated rationale is that a larger range may indicate movement potential and the turnover band may identify active stocks.

The post warns that these conditions are simple and can produce mistaken or unstable selections. It recommends adding technical and fundamental criteria and further turnover analysis. It includes example formula and Python-style references, but reports no backtest, portfolio construction, transaction costs, or performance results; the year restriction also makes the screen historical rather than a general current-market rule.

Key ideas

• The screen requires a daily high-low range above one percent and turnover between two and nine percent.
• It restricts eligible observations to the year 2021.
• The author presents range as a proxy for price movement and turnover as a measure of activity.
• The post cautions that the three filters alone may be unreliable and suggests combining additional indicators and fundamental analysis.
• No return or risk results are provided to validate the screen.

Tags

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