A-Share Stock Screen Using Price, Turnover, and Daily Range
Summary
This note describes an A-share screening rule combining daily price range, a fixed closing price, and turnover. It selects stocks with a high-low range above 1%, a close at 18.5 yuan, and turnover between 3% and 12%. The rationale is to find shares showing price movement and active trading while restricting the nominal share price.
The document gives formula and Python examples, but no backtest or performance evidence. Its discussion identifies key limitations: it omits company financials, treats the chosen turnover interval as subjective, and relies heavily on one specific price point. The Python example also adds filters such as listing age and industry exclusions, so its implementation is not identical to the stated three-condition rule. Suggested extensions include financial ratios and additional technical indicators, but the note does not evaluate whether these improve results.
Key ideas
- The screen requires a daily high-low range greater than 1%.\nIt selects shares closing at 18.5 yuan with turnover between 3% and 12%.\nThe stated rationale combines volatility, nominal price, and trading activity.\nThe document provides implementations but reports no backtest results.\nThe rule omits fundamentals and may be sensitive to arbitrary thresholds.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.