Screening Chinese Stocks by Daily Range, Sharp Loss, and Turnover

Summary

This screen selects Chinese equities with a daily high-low range above 1%, a low price between 4% and 5% below the previous close, and turnover between 3% and 12%. The author interprets the range as a sign of elevated volatility, the steep decline as a possible rebound setup, and the turnover band as evidence of moderate liquidity.

The article also gives a Python example that filters out certain small-capitalization, high price-to-book, and high price-to-earnings stocks, then requires at least 250 historical observations. However, the example's low-price test checks only whether the low is below a threshold; it does not enforce the stated lower bound on the decline, so the code and written rules differ. The article offers no performance evidence or backtest results. It cautions that the rules are simple and sensitive to changing market conditions, and suggests adding financial or sector-level inputs and adapting the screen to the investor's risk tolerance.

Key ideas

• The stated screen combines a daily range above 1%, a low 4% to 5% below the prior close, and turnover from 3% to 12%.
• The author frames a sharp decline as a possible rebound opportunity, but provides no evidence that it predicts a reversal.
• The Python example adds valuation and history-length filters that are not part of the stated core screen.
• The example does not implement the full stated decline interval, creating a mismatch between the rules and code.
• The article recommends adding financial and sector information and accounting for investor risk tolerance.

Tags

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