A-Share Screen Using Daily Range and Turnover in 2021

Summary

The document describes a historical stock-selection screen for Chinese A-shares. It selects observations from 2021 where the daily high-to-low range exceeds 1% and turnover falls between 3% and 12%. The stated rationale is that a larger range may indicate greater price movement, while the turnover band is intended to capture a particular level of liquidity and market interest.

It gives equivalent condition logic and example implementations for a charting platform and Python data workflow, then suggests adding valuation, technical, or fundamental filters and adjusting the turnover band. No performance results or comparison with a benchmark are supplied. The rule is a simple historical filter rather than a complete trading strategy: it does not specify entry and exit timing, portfolio construction, transaction costs, or controls for the volatility of high-range stocks. Its fixed calendar-year restriction also limits its use outside retrospective analysis.

Key ideas

• The screen requires a daily high-to-low range above 1% and turnover between 3% and 12%.
• The conditions are applied to A-share data from 2021.
• The document proposes adding technical or fundamental filters for further screening.
• High-range stocks can carry substantial volatility risk.
• The screen offers no reported backtest performance or complete trade rules.

Tags

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