Chinese Stock Screen for Daily Range, Volume, Gap-Up, and Turnover

Summary

This note outlines a Chinese equity selection rule based on a daily price range above 1%, current trading volume above 10,000 lots, a higher opening price, and turnover between 2% and 9%. It frames the conditions as a way to find stocks with notable price movement and active trading. A sample indicator formula and a Python-oriented outline are included to illustrate screening, although the code and written conditions do not align perfectly on how the higher open is determined.

The discussion warns that the screen is driven by technical and liquidity measures and ignores company fundamentals and other influences. Turnover thresholds may behave differently across market conditions, and high activity or a gap-up does not establish that a stock will continue rising. The author proposes incorporating fundamentals, industry characteristics, and additional price factors, and considering market context when setting liquidity limits. No historical test, risk-adjusted results, or portfolio rules are reported, so the screen is not evidence of a profitable strategy.

Key ideas

• The proposed screen combines a daily range above 1%, volume above 10,000 lots, a higher open, and turnover from 2% to 9%.
• The criteria target price activity and liquidity in Chinese equities.
• The supplied formula and prose may differ in how the opening-price condition is represented.
• The screen does not account for company fundamentals or all market conditions.
• No backtest or performance results are provided.

Tags

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