Chinese Stock Screening by Intraday Range, Opening Gain, and Turnover

Summary

This document describes a Chinese equity screen using three conditions: daily price amplitude above 1, the 9:25 a.m. gain below 6%, and prior-day actual turnover between 3% and 28%. It presents these filters as ways to select for short-term movement and liquidity while excluding some unusually inactive or extreme cases. It also includes example indicator logic and a Python outline for retrieving stock data and filtering candidates.

The screen is a selection rule, not a tested trading system: the document provides no performance results or evidence that the conditions predict returns. It notes that the rules omit company fundamentals and industry trends, and that disruptions such as trading suspensions may affect the metrics. The code examples also have implementation details that would need checking against the intended definitions and data source before use. The document suggests adding fundamental and industry analysis and adjusting thresholds as market conditions change.

Key ideas

• The screen requires amplitude above 1 and a 9:25 a.m. gain below 6%.
• It filters on prior-day actual turnover between 3% and 28%.
• The author presents volatility, short-term direction, and liquidity as the screen's main considerations.
• The document identifies missing fundamental and industry analysis as limitations.
• The examples provide screening logic but no backtest or return evidence.

Tags

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