Chinese Stock Screen Using Price Range, Float Capitalization, and Turnover

Summary

This Chinese-language post outlines a stock screen based on three filters: daily price amplitude above a threshold, circulating market capitalization above a threshold, and prior-day trading activity above a threshold. It frames amplitude as a sign of active trading, company size as a scale filter, and turnover as an indication of market interest. The post includes indicator formula examples and a Python-style outline that further limits the universe and ranks by capitalization before applying activity checks.

The author acknowledges that these conditions alone omit other technical and fundamental factors, and that one day's turnover may not fully represent liquidity or investor interest. Industry differences may also make a fixed capitalization threshold unsuitable. Suggested refinements include adding valuation and profitability measures and considering sector context. The post provides no backtest or performance results, and parts of its code do not clearly align with the stated selection logic, including how trading activity is measured. It presents a screening idea rather than evidence of a profitable trading strategy.

Key ideas

• The screen combines a minimum price-amplitude condition with minimum capitalization and prior-day trading activity conditions.
• The post interprets amplitude as a sign of active trading and market capitalization as a company-scale filter.
• It warns that a single day's activity may not fully represent liquidity or broad investor interest.
• Fixed thresholds may not suit every industry, and the screen omits fundamentals and other technical measures.
• No backtest evidence is provided, and the code's activity measurement should be checked against the stated rule.

Tags

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