A-Share Screening with Intraday Range, Turnover, and Low Prices

Summary

This Chinese-language article describes an A-share stock screen using daily amplitude above 1, a weighted turnover measure between 0.5 and 2, and a requirement that the current day's low fall below the previous day's low. The weighted measure is defined in the prose as yesterday's turnover rate multiplied by today's opening-auction volume divided by yesterday's volume. The stated rationale is to combine short-term volatility, trading activity, and price behavior.

The post gives formula references and a Python example, but that example uses market-wide turnover fields in place of the stated auction-volume ratio, so it may not implement the written rule faithfully. The author identifies missing fundamental analysis and instability as risks, and suggests adding valuation measures such as price-to-earnings and price-to-book ratios. No backtest, return data, or validation is presented, so the screen is a rule proposal rather than evidence of an effective strategy.

Key ideas

• The screen requires amplitude above 1 and a weighted turnover measure within a specified interval.
• It also selects stocks whose current low is below the prior day's low.
• The sample implementation appears to differ from the prose definition of the turnover measure.
• The post warns that the screen omits company fundamentals and offers no performance validation.

Tags

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