A-Share Screen for Large Daily Losses and High Prior-Day Turnover

Summary

This note presents a short-term Chinese equity screen using three conditions: daily amplitude above 1%, a daily decline between 4% and 5%, and previous-day turnover above 8%. The author treats amplitude and the current decline as measures of price movement, while elevated prior-day turnover is used as a sign of recent trading activity that might accompany greater volatility or a reversal opportunity.

The article cautions that these simple indicators can produce incorrect selections, and that turnover is affected by market conditions and investor behavior rather than directly measuring a stock’s value. It recommends assessing relationships among indicators and adding fundamental and liquidity context. The note provides formula and sample-code references, but no backtest, performance evidence, or rules for what to do after a stock passes the screen. The filters should therefore be read as a screening idea, not a demonstrated trading strategy.

Key ideas

• The screen requires amplitude above 1%, a daily loss between 4% and 5%, and prior-day turnover above 8%.
• The author uses high turnover as a proxy for recent activity and possible short-term volatility.
• Turnover can reflect market and investor behavior without indicating fundamental value.
• The note recommends combining the technical filters with other indicators and fundamental analysis.
• No performance results or post-selection trading rules are provided.

Tags

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