Screening Chinese Stocks by Intraday Range, Decline, and Turnover

Summary

This stock-selection screen combines three daily conditions: an amplitude above 1%, a daily decline between 4% and 5%, and turnover between 2% and 9%. The document frames the bounded decline as a possible reversal setup, amplitude as a measure of price movement, and turnover as a rough indicator of market activity. It offers example implementations in indicator syntax and Python, but does not report a backtest, selection frequency, holding period, entry rule, or exit rule.

The source cautions that these simple indicators can misclassify stocks and that turnover alone may not describe actual market conditions. It suggests adding company size or valuation measures and comparing turnover with industry or sector peers. These are proposed refinements rather than tested improvements. The screen therefore defines a candidate-universe filter, not a complete trading system, and its historical or live performance cannot be assessed from the evidence provided.

Key ideas

• The screen selects stocks with amplitude above 1%, a decline bounded between 4% and 5%, and turnover between 2% and 9%.
• The decline is presented as a possible reversal factor, while amplitude and turnover represent movement and trading activity.
• The document provides example code but gives no performance test or complete entry and exit plan.
• It proposes adding valuation or size data and benchmarking turnover against sector peers.

Tags

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