Screening A-Shares by Daily Range, Year, and Turnover

Summary

This short screening idea selects stocks with a daily price range above 1%, during 2021, and prior-day turnover above 60 million. The article presents the range threshold as a way to find more volatile shares and uses turnover as a basic liquidity filter. It describes the output as a watchlist rather than a complete trading strategy, and provides sample formula and Python snippets to illustrate the conditions.

The article cautions that large ranges can signal elevated risk and that a single day’s turnover is an incomplete measure of liquidity. It recommends reviewing historical average turnover, volume, technical indicators, and financial measures as additional filters. No backtest, benchmark comparison, or evidence of future outperformance is provided. The screen therefore defines a historical selection rule, but does not establish an entry, exit, or risk-management method.

Key ideas

• The screen uses daily range above 1%, a 2021 date filter, and prior-day turnover above 60 million.
• The article treats high range as a volatility signal and turnover as a rough liquidity check.
• It recommends historical liquidity measures and additional technical and financial filters.
• The document provides no evidence that the screen predicts returns or outperforms a benchmark.

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