A-Share Stock Screening by Range, Float Size, and Trading Activity

Summary

This post proposes a Chinese-equity screen combining prior-day price amplitude, a cap on tradable shares, and a ratio involving prior turnover and current auction volume relative to prior volume. The intended profile is smaller-cap stocks with recent price movement and active trading. It also suggests limiting the final list to a fraction of candidates and ranking by turnover.

The author warns that activity-focused filters omit company finances and fundamentals, and may neglect long-term value. The proposed refinement is to add measures such as earnings and assets and consider longer-term quality alongside short-term activity. The post includes example formulas, but they do not consistently implement the stated auction-volume calculation, and the Python example uses volume divided by turnover rate. No out-of-sample evidence or performance results are provided, so the screen should be treated as an idea rather than a validated strategy.

Key ideas

• The proposed screen combines prior-day amplitude, tradable share count, and a turnover-volume activity condition.
• It targets smaller stocks with recent movement and trading interest.
• The post recommends adding financial and business-quality filters to address the limits of activity-only selection.
• The code examples appear inconsistent with the written rule, so their calculations need verification before use.

Tags

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