Chinese Stock Screening by Daily Amplitude and Turnover

Summary

This article describes a Chinese equity screen based on daily amplitude, current turnover, and the prior day's actual turnover. Its stated conditions require amplitude above 1, current turnover between 2% and 9%, and prior-day actual turnover between 3% and 28%. The rationale is to combine price movement with current and recent trading activity as a rough way to identify active stocks. It includes indicator-style conditions and a Python example intended to illustrate screening.

The post does not report a backtest or measured results, and it acknowledges that technical filters can miss fundamental and policy influences. It also notes that prior-day turnover can contain market noise and suggests adding trend, volume, capital-flow, or fundamental checks. The implementation example has limitations: its data handling and turnover calculation may not correspond cleanly to the stated conditions, and the article's wording around the prior-day range is not fully precise. Treat the thresholds as a screening proposal, not as evidence of a robust strategy.

Key ideas

• The screen requires amplitude above 1 and current turnover between 2% and 9%.
• It also filters for prior-day actual turnover between 3% and 28%.
• The rationale is to use turnover and price range as rough indicators of activity and market interest.
• The article gives no performance evidence and warns that technical filters omit other market drivers.
• Its sample implementation may not faithfully calculate the stated conditions.

Tags

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