Chinese Stock Screen Using Amplitude, Ten-Day Returns, and Turnover

Summary

This stock screen selects shares with daily amplitude above 1%, a positive return over ten days that remains below 35%, and previous-day turnover above 8%. The document interprets amplitude as a measure of market movement, the bounded return as a way to avoid the strongest recent run-ups, and high turnover as a sign of active trading. It includes formula references and a Python-style example, but provides no backtest, performance statistics, or evidence that the filters produce an edge.

The author warns that using a single prior-day turnover observation can be misleading and that popular stocks may pull back after attention fades. Suggested refinements include using average turnover over a longer window and adding industry, financial, or other fundamental information. The formula and code examples are not fully consistent, including a price filter and turnover calculation that may not match the stated selection logic. Treat them as illustrative rather than a validated implementation.

Key ideas

• The screen combines amplitude above 1%, a positive ten-day return below 35%, and prior-day turnover above 8%.
• The document presents turnover as a proxy for trading activity, not as proof of future returns.
• A single-day turnover reading may be noisy, and a longer average is suggested.
• The examples contain inconsistencies and are not backed by reported performance tests.
• Industry and fundamental factors are proposed as additional screening inputs.

Tags

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