Filtering Chinese Stocks by Daily Range, Turnover, and Two-Day High

Summary

This stock-selection approach combines three conditions: daily price amplitude above 1, prior-day trading value above 60 million, and a high that is the highest across two days. The accompanying explanation treats range as a sign of activity, turnover value as a measure of market attention, and a recent high as a sign of upward movement. Together, the conditions are intended to narrow a stock universe using price action and trading activity.

The document flags exposure to market swings and unexpected events, and notes that a two-day high alone may not represent a company’s broader investment merits. It suggests adding other indicators and data, but provides no testing results or evidence that the filter improves returns. The sample Python procedure is only a rough reference: its data handling does not clearly implement all stated conditions consistently, so the selection logic should be validated before use.

Key ideas

• The screen requires price amplitude above 1, prior-day trading value above 60 million, and a two-day high.
• The rationale combines recent price activity with a proxy for market attention.
• The document acknowledges that a recent high may provide an incomplete view of a stock’s prospects.
• No backtest or performance evidence is supplied, and the example implementation needs validation.

Tags

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