Screening Chinese A-Shares by Daily Range, Volume Ratio, and Market Value

Summary

This note describes a stock screen for Chinese A-shares using a daily price range of at least 1%, trading volume between 1.5 and 6 times its five-day average, and market value of at least 200 million. The proposed rationale is to find stocks with noticeable price movement and active trading while avoiding exceptionally high volume, with company size used as a basic stability filter.

The document provides indicator conditions and a sample selection script, but reports no historical test, portfolio results, or evidence that the thresholds predict returns. Its own caveats are that market value alone does not assess company fundamentals and that recent qualifying data do not establish future performance. It suggests adding measures such as return on equity or earnings growth and using a longer data window. The screen is therefore a simple candidate-generation rule, not a complete investment method.

Key ideas

• The screen requires a daily high-low range of at least 1%.
• It limits volume to between 1.5 and 6 times its five-day average.
• It includes stocks with market value of at least 200 million.
• The note warns that the rule omits broader financial fundamentals and does not establish future performance.

Tags

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