Chinese Stock Screening with Price Range, Listing Age, and Actual Turnover
Summary
This Chinese equity screening rule combines a daily price-movement threshold, a listing-age filter, and prior-day actual turnover. It aims to select shares with some market activity, exclude newly listed companies, and avoid both very low and very high turnover. The stated turnover band is above 3% and below 28%, while the listing must be more than one year old and the amplitude must exceed 1. The page also provides illustrative indicator and Python implementations, though their calculations are not fully consistent with the prose description.
No backtest or return evidence is presented. The author notes that the screen omits company fundamentals, industry conditions, and macroeconomic factors, and that actual turnover data may be delayed or inaccurate. Suggested additions include moving averages, MACD, trading volume, and traded value. These are screening criteria only; the document does not specify a complete trading system, portfolio rules, or risk controls.
Key ideas
- The proposed screen requires price amplitude above 1 and a listing age greater than one year.
- Prior-day actual turnover must be above 3% and below 28%.
- The author treats turnover as a proxy for market activity and liquidity.
- The article warns about missing fundamental and macroeconomic inputs and possible turnover data errors.
- Additional technical and trading-activity measures are suggested, but no performance results are given.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.