Screening Chinese Stocks by Price Range and Turnover Activity

Summary

The proposed equity screen selects stocks with a daily price range above one percent, a signal described as main-force control on the previous day, and actual turnover between three and twenty-eight percent on the day before that. The rationale is that a meaningful price range and active turnover may help identify lively stocks with a clear direction; the control signal is treated as a measure of market sentiment.

The document provides example screening logic and code references, but these do not establish that the screen earns excess returns. It warns that the approach may be less effective in calm markets and vulnerable when market style changes. It also recommends considering fundamentals and broader market conditions, and accounting for trading costs from high activity. The implementation details are not fully consistent, so the stated selection criteria should be checked before use.

Key ideas

• The screen combines a daily price range threshold with prior-day control and turnover conditions.
• Turnover is constrained to a stated band to focus on active stocks.
• The rationale links range and turnover to price volatility and trading activity.
• The document warns of weaker results in calm markets and possible failure during style shifts.
• It offers no backtest evidence and advises accounting for costs and broader market factors.

Tags

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