Screening Chinese Stocks by Daily Range and Turnover

Summary

This post presents a simple Chinese equity screening rule based on daily price range and turnover, while excluding stocks from the STAR Market. The intended rationale is to find shares with both price movement and trading activity, potentially suitable for short-term opportunities. The post also discusses the limits of relying on these market measures alone, including the omission of company finances, governance, and industry conditions.

It suggests adding valuation, momentum, moving-average, and business-quality measures, along with position and risk controls. The document includes illustrative formula and Python references, but no backtest, return evidence, or precise validation of the screen’s effectiveness. Its code examples also use different turnover calculations and screening details, so implementation would need careful checking before use. The selection criteria identify activity and range, not expected return or a complete portfolio strategy.

Key ideas

• The screen selects stocks using daily high-low range and turnover thresholds.
• It excludes stocks associated with the STAR Market.
• The rationale is to focus on trading activity and short-term price movement.
• The post warns that the screen omits fundamentals and other material risks.
• It recommends additional indicators and risk controls, but supplies no performance evidence.

Tags

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