Mainland China Stock Screen Using Turnover, Daily Gains, and Morning Price

Summary

The post describes a technical stock screen for mainland China’s main board. It selects shares with turnover between 3% and 12%, a daily gain above 1%, and a 9:25 price change below 6%. The post also includes formula and Python examples intended to implement the filter. The screen combines trading activity and recent price movement, with the morning price condition acting as an additional constraint on the candidates.

The author characterizes the approach as technical analysis and cautions that it omits company fundamentals and industry prospects. Suggested refinements include adding measures of profitability, valuation, growth, and industry conditions, as well as other technical indicators. No backtest, benchmark, transaction-cost analysis, or realized performance is reported. The code examples should be checked carefully against the stated rule: the Python snippet applies a different morning price interval and uses its first and last rows, so it may not implement the described 9:25 and daily conditions as written.

Key ideas

• The screen filters main-board stocks by turnover, daily gain, and a morning price move.
• The stated turnover range is 3% to 12%, and the daily gain must exceed 1%.
• The post says the 9:25 price change must be below 6%.
• The author recommends adding fundamental and industry information to broaden the analysis.
• The code example appears inconsistent with the written screening conditions.

Tags

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