A Stock Screen Using Intraday Range, Turnover, and Positive Returns

Summary

This Chinese-language post describes an equity screen that selects stocks with an intraday range above 1, turnover between 2% and 9%, and a positive return, operationalized in the indicator example as a close above the open. The stated rationale is to combine price movement with trading activity and a positive daily direction. It provides an indicator formula reference and sample Python logic using market data, illustrating how the conditions might be applied across stocks.

The post supplies no backtest, return series, benchmark comparison, or evidence that the screen predicts future performance. It cautions that relying on a small set of signals and a particular observation time can produce unstable selections, and suggests adding technical or fundamental filters. The code example also includes data handling and filtering details that do not fully align with the headline logic, so its implementation should be checked before use. The screen is best understood as a simple candidate-generation rule, not a validated strategy.

Key ideas

• The screen requires an intraday range above 1, turnover above 2% and at most 9%, and a positive daily move.
• The example represents a positive move as the closing price exceeding the opening price.
• The stated rationale combines price volatility, market activity, and recent direction.
• The document provides formulas and sample data-processing logic but no performance evidence.
• Its authors flag timing and single-factor exposure as limitations and suggest adding other filters.

Tags

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