A Chinese Stock Screen Using Turnover Ratio and Opening Price Filters

Summary

This note describes a Chinese equity screen that ranks stocks by turnover ratio and keeps the top 100, then applies an opening-price condition: the stock was at its price limit at 9:15 and its gain by 9:25 is below 6%. It presents the conditions as a way to identify stocks that saw a sharp prior decline and may offer a rebound opportunity. It also suggests checking turnover and trading volume alongside the initial filters.

The document gives no backtest, performance figures, or evidence that the screen predicts profitable trades. It warns that turnover ratio and opening-price moves can be distorted by market sentiment and capital flows, making selected stocks unrepresentative. The accompanying calculation example is truncated, so it does not provide a complete implementation. The proposed conditions should therefore be treated as a screening idea that needs independent validation, including backtesting, rather than as a demonstrated trading strategy.

Key ideas

• The screen ranks stocks by turnover ratio and selects the top 100.
• It filters for a price-limit match at 9:15 and a gain below 6% by 9:25.
• The author frames the setup as a possible rebound screen after a sharp decline.
• The note recommends checking additional measures such as turnover and volume.
• No performance evidence is provided, and the code example is incomplete.

Tags

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