Chinese Stock Screening by Turnover, Ten-Day Return, and Volatility

Summary

The document describes a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, a positive ten-day return below 35%, and an average true range above 1. It frames the filters as a way to find stocks with moderate trading activity, recent gains, and price movement. It also provides an example of implementing the screen with market data and sorting selected names by return.

The article cautions that the screen does not adequately account for company fundamentals and may include stocks driven by speculative demand. It suggests adding company classification, industry position, and revenue and profit growth, alongside risk controls. The examples do not provide a historical performance study, benchmark, or transaction-cost analysis. There is also a measurement ambiguity: the screening rule refers to amplitude, while the formula and sample code use ATR, and the code’s data handling does not clearly establish that each condition is calculated as intended.

Key ideas

• The screen combines turnover, ten-day price appreciation, and a volatility threshold.
• The stated turnover range is 3% to 12%, and the ten-day return must be positive but below 35%.
• The document recommends adding fundamental and technical factors and explicit risk controls.
• No backtest evidence is presented, and the description of amplitude differs from the ATR formula used in the examples.

Tags

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