Screening Chinese Stocks by Daily Range, Turnover, and Prior Limit-Ups

Summary

This stock-selection screen combines daily price movement and trading activity. It selects shares with an intraday high-to-low range of at least one percent and turnover between two and nine percent, while excluding stocks that closed at the upper price limit on the previous day. The stated rationale is to focus on active trading while avoiding the immediate effects of a prior limit-up session. The document includes formula and Python examples, but the Python turnover calculation uses recent volume totals as a proxy and does not clearly establish that it measures the stated turnover rate.

The article offers no historical test, comparison, or performance evidence. It warns that the screen emphasizes short-term activity and may select speculative stocks without regard to company fundamentals. Excluding recent limit-up stocks could also remove names with ongoing short-term strength. Suggested additions include other market indicators and fundamental measures, alongside position and loss controls; these suggestions are not tested in the document.

Key ideas

• The screen requires an intraday high-to-low range of at least one percent and turnover from two to nine percent.
• It excludes stocks that reached the upper price limit on the previous day.
• The article frames range and turnover as signs of trading activity, but supplies no evidence that they predict returns.
• It cautions that the screen ignores fundamentals and may miss continuing momentum after a limit-up session.
• The code example's volume-based turnover proxy may not match the stated turnover-rate condition.

Tags

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