Screening Chinese Stocks by Daily Range, Turnover, and Region

Summary

This note presents a stock screen based on three filters: price amplitude above a threshold, turnover between specified bounds, and exclusion of Beijing-listed shares. It explains the intended role of each condition and shows how they can be combined in indicator-formula and Python-style examples. The article later suggests a narrower turnover band and adding other factors for a more balanced selection process.

The document offers screening logic and code illustrations as its evidence, but reports no backtest, selected-stock results, or trading performance. It acknowledges that a small set of filters can overlook important drivers, that turnover bounds may classify stocks imperfectly, and that a regional exclusion does not address other sources of risk. The initial and revised turnover ranges differ, and the Python example reflects the narrower range, so implementation should follow a clearly chosen specification. The screen does not define trade timing, position sizing, or exit rules and is best understood as a candidate-generation method.

Key ideas

• The screen selects stocks using price amplitude and a bounded turnover rate.
• It excludes Beijing A-shares as a regional filter.
• The article provides formula and Python-style examples, with a narrower turnover band suggested in its revision.
• It warns that the rules are simple and may miss important factors or misclassify stocks.
• No performance test or complete trading and risk plan is presented.

Tags

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