Chinese Stock Screening by Amplitude, Turnover, and Trading Activity

Summary

This screening method selects stocks using three activity conditions: price amplitude above 1%, prior-day trading value above 60 million, and actual turnover between 3% and 28% on the referenced earlier day. The article describes amplitude and trading activity as ways to exclude stocks with little movement, while the turnover band is meant to avoid both weak liquidity and unusually high turnover. It includes a formula reference for actual turnover and a Python example that applies the filters to daily stock data.

The post explains the rationale for the filters but supplies no backtest, return, or risk statistics. It notes that the screen omits broader market and company information, such as valuation, leverage, and profitability, and could therefore select firms with poor prospects despite meeting the trading criteria. It proposes adding financial and technical inputs, but does not specify how to combine them or validate the resulting rules. The stated timing of the turnover observation and the sample implementation are not entirely consistent, so the intended lookback should be checked before use.

Key ideas

• The screen combines amplitude above 1%, trading value above 60 million, and actual turnover between 3% and 28%.\nAmplitude and trading activity are used to focus on stocks with meaningful price movement.\nThe turnover range is intended to filter out weak liquidity and potentially excessive activity.\nThe post gives no performance evidence and says company and market fundamentals are missing.\nThe stated observation dates and example code may not align, so the lookback needs clarification.

Tags

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