Equity Screening by Price Range, Listing Age, and Volume Ratio

Summary

This document describes a Chinese stock screening rule that selects shares with daily amplitude above 1%, a listing history longer than one year, and a volume ratio between 1.5 and 6. It explains the intended rationale: larger ranges may indicate active trading, listing age may exclude very new stocks, and the bounded volume ratio targets unusual but not extreme activity. It also gives indicator formulas and a Python example that first narrows the universe by market capitalization, then checks recent price ranges, listing dates, and volume data.

The screen is a heuristic rather than a demonstrated strategy: no performance results, benchmark, or out-of-sample evaluation are supplied. The example also has implementation details that may not match the stated rule exactly, including checking whether any observations in its historical window violate thresholds. The document cautions that fundamental factors are omitted and volume-ratio data may be delayed or inaccurate; it suggests combining the screen with fundamental and technical measures.

Key ideas

• The screen combines daily amplitude, time since listing, and a bounded volume ratio.
• A higher amplitude is used as a proxy for more active price movement.
• The example code additionally starts with a market-capitalization filter.
• The document provides no backtest evidence for the screen's profitability.
• Fundamental omissions and potentially stale volume data are identified as risks.

Tags

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