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A-Share Screen for Volatility, Shanghai Listings, and Turnover

Code Stratmill research code

Summary

This note presents a basic stock-selection filter for shares whose codes begin with 60. It requires the daily high-low range to exceed one percent of the prior close and yesterday’s trading value to exceed a stated threshold. The document interprets the range condition as a sign of greater volatility, the code prefix as a way to target a particular market segment, and high turnover as a marker of trading activity. It includes formula and Python examples for applying the criteria.

The screen is a descriptive filter, not a directional trading strategy: it does not explain whether or when to buy or sell qualifying stocks. No backtest or performance evidence is offered. The author cautions that a wide range does not imply a favorable trend, high prior turnover does not predict future direction, and restricting the universe by code prefix excludes other stocks. The code and data conventions should be checked against the intended market and date, since the written description and example variable labels may use different measures or units.

Key ideas

  • The filter selects stocks with codes beginning with 60 and a daily range above one percent of the prior close.
  • It also requires yesterday’s trading value to exceed the stated threshold.
  • The note treats volatility and turnover as screening characteristics, not forecasts of returns.
  • No trade-entry rules, backtest, or performance results are provided.
  • The market restriction and data-unit assumptions can affect which stocks qualify.

Tags

EquitiesChina marketsVolatilityTechnical indicators

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