A Chinese Stock Screen Using Range, Turnover, and Trading Value

Summary

The document describes a simple Chinese equity screening rule. It selects stocks with a daily high-low range of at least one percent, turnover above two percent but below nine percent, and prior-day trading value above sixty million. The stated rationale is to focus on shares showing price movement and active trading. It also suggests adding fundamental or technical measures and using controls such as dynamic profit-taking and stop-loss rules.

The page provides indicator-style conditions and a Python example intended to retrieve market data and filter stocks. However, the example does not clearly implement every stated condition: its range check uses an absolute price difference rather than a percentage range, and its turnover calculation may not match the stated turnover definition. No backtest, return data, or comparison is given. The screen is therefore a basic activity filter, not evidence of predictive performance, and it would require careful definition and validation before use.

Key ideas

• The screen requires a daily price range of at least one percent, turnover between two and nine percent, and prior-day trading value above sixty million.
• The rationale is to identify actively traded stocks with notable price movement.
• The author recommends considering fundamentals, technical patterns, and risk controls alongside the screen.
• The supplied Python example may not calculate the stated range and turnover conditions consistently.
• The document provides no backtest or evidence that the screen predicts returns.

Tags

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