Chinese Stock Screening by Daily Range, Exchange Code, and Turnover

Summary

This note describes a simple equity screen for stocks whose codes begin with 60, whose daily high-to-low range exceeds 1% of the prior close, and whose turnover rate is between 3% and 12%. It presents the criteria as indicators of price movement and trading activity, and includes examples of expressing the combined filter in a screening formula and a Python data selection routine.

The document gives no backtest, return data, or comparison with alternative screens. It cautions that relying on technical and trading-activity measures can overlook company fundamentals, that indicators may lag, and that stock-specific filters do not address broad market risk. Suggested improvements include adding financial or operating measures, examining changes in technical indicators, and investigating why turnover is high or low. The screen is therefore a candidate selection rule, not evidence of a profitable trading strategy; it does not specify entry timing, exits, position sizing, or portfolio risk controls.

Key ideas

• The screen requires a daily high-to-low range greater than 1% of the previous close.
• It selects stocks whose codes begin with 60 and whose turnover rate falls between 3% and 12%.
• The note interprets range as a volatility measure and turnover as a sign of market activity.
• It recommends adding fundamental and other market measures to reduce dependence on a few technical filters.
• No performance evidence or trade management rules are provided.

Tags

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