Chinese Stock Screening by Volatility, Turnover, and 10-Day Return

Summary

This Chinese stock screener combines three filters: daily amplitude above 1, turnover between 2% and 9%, and a 10-day price gain above zero but below 35%. The stated rationale is to seek stocks with meaningful price movement and trading activity while keeping recent gains within a bounded range. It describes this as a multi-factor screening rule rather than a complete trading system.

The post includes formula and Python examples, but the Python turnover calculation uses recent volume in place of an explicit turnover-rate measure, so it may not implement the stated condition as written. The author notes that the screen omits company fundamentals and could exclude stocks with larger recent gains. Suggested refinements include adding financial measures such as valuation ratios and return on equity, plus other technical indicators. No backtest evidence or performance figures are provided.

Key ideas

• The screen requires amplitude above 1 and turnover between 2% and 9%.\nIt selects stocks whose 10-day gain is positive but below 35%.\nThe stated intent is to combine volatility, trading activity, and recent price performance.\nFundamental measures could supplement the price and turnover filters.\nThe post provides no measured performance evidence.

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