Chinese Stock Screen for Large Ranges, Sharp Declines, and Turnover

Summary

This Chinese equity screen selects stocks with a daily price range above 1%, a maximum decline between 4% and 5%, and prior-day actual turnover between 3% and 28%. The document presents the criteria as a way to combine price movement, volatility, and trading activity. It includes example indicator logic and Python code, but gives no backtest, performance evidence, or detailed rules for portfolio construction or exits.

The author notes that a single day of turnover may be distorted by an isolated event and that simple filters can produce false signals as market conditions change. Suggested refinements include measuring turnover across a longer window and adding indicators such as MACD or RSI. The screening criteria are therefore a starting point for research, not a validated trading strategy; the document does not establish that the selected stocks have favorable returns.

Key ideas

• The screen requires a daily range above 1% and a maximum decline between 4% and 5%.\nIt also filters for prior-day actual turnover between 3% and 28%.\nThe document offers no performance testing to validate the selection rules.\nA short turnover lookback and simple criteria may create misleading selections.\nThe author suggests longer turnover measurements and additional technical indicators as possible refinements.

Tags

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