A-Share Stock Screening by Daily Range, Turnover, and Market Type

Summary

This stock selection rule screens for A-shares with a daily high-low range above 1% and turnover between 2% and 9%. It combines a volatility measure with trading activity and a market classification filter. The document also sketches an implementation using market and daily stock data, although its sample code adds extra filters that are not part of the stated final rule.

The rationale is that range and turnover may identify actively traded stocks, while market type limits the universe. The article cautions that these measures and company classification do not establish fundamental value or reliably predict price direction. It suggests adding technical and valuation measures, setting stop losses, and diversifying. No backtest, performance evidence, or systematic validation is provided, so the screen should be treated as a preliminary selection rule rather than a demonstrated strategy.

Key ideas

• The screen selects A-shares with a daily price range above 1% and turnover from 2% to 9%.
• It combines price variability, trading activity, and market classification.
• The accompanying sample code includes additional filters beyond the final stated selection rule.
• The article warns that range, turnover, and market type do not establish a stock's value or forecast its direction.
• It proposes adding technical and fundamental measures alongside risk controls such as stop losses and diversification.

Tags

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