Chinese Stock Screen Using Amplitude, Turnover, and Control Measures

Summary

This Chinese-language post proposes a stock screen combining daily price amplitude above 1%, turnover between 2% and 9%, and a “today control” condition. It presents the screen as a way to find stocks with notable price movement and active trading, then supplies indicator and Python examples intended to identify qualifying shares. The post describes the control condition through price movement within the day and volume relative to recent sessions.

The rationale is qualitative; no backtest, performance figures, or validation results are supplied. The author notes that the screen omits fundamental information, that the control measure may be affected by speculative activity, and that its activity thresholds may be subjective. Suggested refinements include adding fundamental and technical variables or combining indicators with a weighting model. The examples should be treated as references rather than evidence that the screen improves investment outcomes.

Key ideas

• The screen selects stocks with daily amplitude above 1% and turnover from above 2% through 9%.
• Its additional control condition combines an intraday close-to-open move with volume comparisons.
• The post argues that volatility and active trading may draw investor attention but provides no performance evidence.
• The screen excludes fundamentals and may be vulnerable to speculative activity and subjective thresholds.
• The author suggests adding fundamentals or other indicators and evaluating them in a combined model.

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