A-Share Screen Using Daily Range, Trading Value, and Turnover

Summary

This note describes a rules-based A-share screen using three trading measures: daily price range above 1%, prior-day trading value above 60 million, and turnover between 2% and 9%. The author treats the range and turnover bands as indicators of active trading while using the value threshold to filter out less-traded stocks. Formula and Python examples are included to illustrate how the conditions can be combined.

The article acknowledges that these filters omit other technical and fundamental information, and that restricting the universe to a turnover band may exclude stocks with different risk and return profiles. It suggests adding company financial data, industry analysis, or ranked quantitative measures. No historical backtest, candidate results, or performance evidence is reported. The code examples also describe data fields and timing that may need verification before use, so the screen is best understood as a proposed selection rule rather than a validated trading system.

Key ideas

• The screen requires a daily range above 1%, trading value above 60 million, and turnover between 2% and 9%.
• The criteria aim to combine price activity, liquidity, and moderate turnover.
• The author notes that the screen omits other technical and fundamental measures.
• The document reports no backtest or performance evidence, and its sample implementation should be checked.

Tags

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