A-Share Screen Using Turnover, Float Value, and Intraday Range

Summary

This document presents an A-share selection rule combining turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and an intraday range of at least 1% relative to the prior close. It frames turnover and range as measures of trading activity and uses the market-value band to constrain the eligible stock universe. Formula and Python examples illustrate how to apply the conditions to daily data.

No backtest, performance statistics, or evidence of a durable edge is provided. The article notes that the rule leaves out company fundamentals and broader market conditions, and that its range threshold is a blunt choice that may perform poorly in complex markets. It suggests adding valuation or dividend measures and further technical or market filters. Data-field names may need adjustment to the chosen provider, and the screen itself does not specify portfolio construction, execution, or risk limits.

Key ideas

• The screen combines turnover of 3% to 12%, circulating value of 5 to 10 billion yuan, and an intraday range of at least 1%.
• The document supplies formula and Python examples but does not report a backtest.
• The rules omit fundamental analysis and market context, which can limit their usefulness.
• The article suggests adding valuation, dividend, technical, and market factors and checking data-source field names.

Tags

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