A-Share Screen Using Price, Daily Range, and Turnover

Summary

The document proposes screening Chinese A-share stocks using a daily amplitude threshold, a price condition around 18.5 yuan, and prior-day turnover between 3% and 28%. It explains these filters as ways to select stocks with notable price movement, a chosen price level, and substantial trading activity. It includes illustrative formula and Python examples, along with suggestions to add technical or fundamental measures when evaluating candidates.

The examples do not consistently implement the stated logic: the formula uses an exact closing-price equality, while the Python section does not clearly apply the stated amplitude and price filters and refers to turnover data in ways that may not match the claimed actual turnover measure. The post presents no backtest, returns, or evidence that the screen identifies profitable stocks. It also acknowledges that the rules omit company quality and other risks, and that data coverage and parameter choices can affect results.

Key ideas

• The proposed screen combines daily price amplitude, a price condition, and prior-day turnover.
• The stated turnover band is intended to filter for active trading.
• The formula and Python example do not clearly match all parts of the described selection rule.
• The post gives no performance evidence and notes that the screen omits broader stock-quality factors.
• Additional technical and fundamental measures are suggested as possible extensions.

Tags

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