Chinese Stock Screening with Volatility, Volume, Gaps, and Turnover

Summary

This note describes a Chinese equity screen combining daily price range, current trading volume, a higher open, and the prior day’s actual turnover rate. The stated filters seek actively traded stocks with substantial price movement and a turnover rate within a specified band. It also discusses adding technical measures and company fundamentals, such as valuation and profitability indicators, to broaden the analysis. The accompanying example code applies additional checks, including a long moving average filter, so it does not exactly implement the screen as initially described.

The document offers no performance results or evidence that the screen predicts returns. Its main caveat is that technical filters alone can miss company fundamentals and changing market conditions. The turnover range and other thresholds are presented as screening choices, not as validated parameters; the note recommends considering industry and market context when applying them.

Key ideas

• The screen combines price range, current volume, a higher open, and prior day turnover.
• It targets stocks with high activity and a specified turnover range.
• The example implementation adds filters that differ from the initially stated selection rules.
• The document provides no backtest evidence for the screen.
• Fundamental and market context may help address the limits of technical-only selection.

Tags

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