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

Summary

This Chinese equity screening rule selects stocks with an intraday range above 1%, prior-day trading volume above 60 million, and a ten-day price gain greater than zero but below 35%. The article presents the range and turnover filters as ways to find actively traded, short-term volatile stocks, while the return filter limits selection to stocks with recent positive performance. It includes example implementations for a Chinese market screening platform and Python, but reports no backtest, performance figures, or comparison with alternative filters.

The article flags the risk of chasing rising prices or selling into declines, and notes that past ten-day returns may not predict future direction. It suggests adding indicators such as RSI, MACD, or DMI, and fundamental measures such as valuation ratios or return on equity. These are proposed refinements rather than tested improvements. The screening conditions describe candidate selection only; the document does not specify entry timing, portfolio construction, position sizing, or exit rules.

Key ideas

• The screen requires an intraday range above 1%, prior-day volume above 60 million, and a positive ten-day return below 35%.\nThe filters aim to identify actively traded stocks with recent gains and substantial short-term movement.\nThe article provides example implementations but gives no measured strategy results.\nRecent gains can reverse, so the screen carries a risk of chasing price moves.\nAdditional technical and fundamental filters are suggested, but their effectiveness is not evaluated.

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