Screening Chinese Stocks by Price Range and Prior-Day Turnover

Summary

This document describes a Chinese stock screen using amplitude above 1, a stated K-line value below 20, and prior-day actual turnover between 3% and 28%. It presents these conditions as a way to find stocks with notable price movement and moderate trading activity. The accompanying commentary suggests broadening the turnover band and adding market, industry, financial, and trading information, with machine learning offered as a possible screening aid.

The material includes formula and Python examples, but their calculations do not clearly implement every stated criterion: the code uses volume-based calculations for turnover, and the formula’s variables and thresholds are not fully consistent with the prose. No historical performance, backtest, or evidence that the screen predicts returns is supplied. The document itself flags the narrow turnover requirement and limited indicator set as sources of missed opportunities and selection bias. Treat the screen as an illustrative filter whose definitions and implementation need validation.

Key ideas

• The proposed screen combines amplitude above 1, a K-line value below 20, and prior-day actual turnover from 3% to 28%.
• The commentary characterizes amplitude and K-line as price-movement filters and turnover as an activity measure.
• The author suggests adding market, industry, financial, and trading information to broaden the analysis.
• The examples do not consistently operationalize the prose conditions, and no backtest evidence is provided.

Tags

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