Chinese Stock Screening with Volatility, Turnover, and Control Signals

Summary

This document describes a Chinese equity screening rule that combines daily price range, turnover, and a prior-day indicator intended to represent dominant capital control. The stated thresholds are an amplitude above 1 and turnover above 2% but no more than 9%. The accompanying indicator formula adds a 20-period average-amount ranking filter and uses the close’s position within the day’s range as a proxy for control.

The rationale is to identify shares with movement and trading interest while considering money flow. The article gives formula and Python examples, but they do not implement identical rules: the Python sample checks volume relative to total shares and positive main net inflow, and also filters by the close relative to the open. It cautions that prior-day control data may be delayed or overfit, and that high volatility can raise risk. Suggested refinements include financial and technical measures and control readings across multiple periods; no backtest evidence is provided.

Key ideas

• The screen combines a daily amplitude threshold with a bounded turnover range.
• A 20-period average-amount rank and close-position tests appear in the indicator formula.
• The Python example uses volume and money-flow checks that differ from the indicator formula.
• The article warns that yesterday’s capital-control signal can be stale or overfit.
• High volatility may increase risk, and the document provides no performance validation.

Tags

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