Screening Chinese Equities by Range, Turnover, and Two-Day Highs

Summary

This document describes a short-term Chinese equity screen using three conditions: price amplitude above 1%, turnover between 2% and 9%, and a high that ranks as the highest over a two-day window. It frames amplitude and turnover as measures of activity, while the recent high is intended to capture short-term price behavior. It also gives indicator and Python examples, though the examples do not consistently implement the stated turnover and amplitude definitions.

The article cautions that a screen based on recent price action can miss company fundamentals, governance, and industry conditions. It suggests adding valuation and technical measures, alongside limits on trading frequency, concentration, and position size. No backtest results or performance evidence are provided, so the proposed criteria should be treated as a screening idea rather than a validated strategy.

Key ideas

• The screen combines price amplitude above 1% with turnover between 2% and 9%.\nIt selects stocks whose high meets the stated two-day high condition.\nThe article positions the criteria as a way to identify short-term trading candidates.\nIt recommends adding fundamental and technical measures and controlling concentration and position size.\nThe document provides no performance evidence, and its code examples differ from parts of the written criteria.

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