Chinese Stock Screen Using Turnover, Recent Returns, Volume, and Gaps

Summary

This note proposes screening Chinese shares for turnover between 3% and 12%, a positive but less than 35% return over ten days, current volume above 10,000 lots, and a higher open. The sample code also applies exclusions for certain listing boards and special-treatment stocks, checks listing age and available price history, and includes additional candle-pattern and market-cap conditions. These implementation details go beyond the short prose description, and some conditions do not map cleanly to the stated ten-day return rule.

The article interprets volume as a liquidity filter and a higher open as a sentiment or price-direction signal. It offers no performance study or evidence that these filters improve selection. It cautions that volume and opening gaps can be driven by short-term volatility, and recommends considering technical and financial measures and choosing thresholds carefully. The code’s data windows and definitions would need review before using the screen in research or live trading.

Key ideas

• The stated screen combines turnover, ten-day price change, trading volume, and a higher opening price.
• The prose sets turnover between 3% and 12%, ten-day return above zero and below 35%, and volume above 10,000 lots.
• The example code adds listing, trading-history, candle-pattern, and market-cap filters.
• The article warns that volume and opening gaps can be sensitive to short-term market swings and provides no performance evidence.

Tags

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