A Share Screen Using Amplitude, Turnover, and Daily Return Bounds

Summary

This Chinese A-share screening idea combines daily price amplitude, turnover, and percentage change. It selects stocks with amplitude above 1, turnover between 2% and 9%, and a daily return between -5% and 2.6%. The article frames the bounds as a way to find stocks with activity while avoiding very large daily moves. It also includes an indicator formula and a Python example, though the example adds extra conditions and does not cleanly match every stated metric.

The author notes that a screen based only on technical measures can miss fundamental information and stocks leading a market rally. Suggested extensions include volume, money flows, and broader market conditions, but the document gives no backtest results or evidence that these changes improve performance. Treat the thresholds as screening parameters requiring validation; the rules alone do not establish predictive strength or provide an entry, exit, or portfolio risk plan.

Key ideas

• The screen requires amplitude above 1 and turnover strictly between 2% and 9%.
• It restricts daily percentage change to a range above -5% and below 2.6%.
• The article cautions that technical filters omit fundamental factors and may miss strong market leaders.
• It suggests adding volume, money-flow measures, and market context, without presenting evidence of improved results.

Tags

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