A-Share Screening by Price Range, Turnover, and Region

Summary

This proposed A-share screen combines a daily price-range filter with prior-day actual turnover and a regional exclusion. It describes excluding Beijing-listed shares, selecting stocks whose high-to-low range exceeds 1%, and requiring actual turnover between 3% and 28%. The examples calculate turnover from volume and traded value, with a lookback adjustment, and the Python sample additionally requires positive price-to-earnings and price-to-book ratios.

The article frames the range and turnover conditions as ways to find active, tradable stocks, but offers no backtest or return evidence. It warns that turnover may not represent market conditions reliably, that high volatility does not imply investment quality, and that technical or sentiment filters can overlook fundamentals. It recommends adding fundamental measures and studying turnover history. There is a potential inconsistency between the prose, which says to exclude Beijing stocks, and the code’s board and area tests; the final screen’s geographic scope should be checked before implementation.

Key ideas

• The proposed screen requires a daily high-to-low range greater than 1% and prior-day actual turnover from 3% to 28%.
• The article describes excluding Beijing-listed shares, while its code uses both a board field and an area field.
• The sample calculation derives actual turnover using volume and traded value with a lookback condition.
• The Python example also filters for positive price-to-earnings and price-to-book ratios.
• The author cautions that turnover and price range alone do not establish investment quality or replace fundamental analysis.

Tags

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