A-Share Screen for Range, Ten-Day Returns, and Turnover

Summary

This A-share stock screen combines three technical conditions: daily price range above 1%, a positive but sub-35% return over ten days, and turnover between 3% and 12%. The rationale is to find stocks with noticeable movement and recent gains while avoiding the most extreme advances and turnover levels. The document also provides example implementations in two trading environments, though their calculations are not fully consistent: one uses trading volume relative to share capital, while the Python example uses turnover value relative to circulating market value. The range calculation also differs between examples.

The post gives no backtest results or evidence that the thresholds produce an edge. It cautions that the screen ignores fundamentals, that turnover is an uncertain short-term activity measure, and that capital and risk controls are still needed. It suggests adding indicators, company financial data, and market or industry context, but does not test those additions. Treat the criteria as a screening hypothesis requiring careful data validation and out-of-sample evaluation.

Key ideas

• The screen selects stocks with daily range above 1%, positive ten-day returns below 35%, and turnover between 3% and 12%.
• The proposed rationale is to balance price activity and moderate recent gains with a middle range of trading activity.
• The two example implementations calculate range and turnover differently, so the intended definitions should be clarified before use.
• The post supplies no performance evidence and warns that the screen omits fundamental analysis.

Tags

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