Screening Chinese Stocks by Price Range, Turnover, and Exchange

Summary

The post describes a stock screen that combines a price-range condition, a prior-day turnover condition, and an exchange exclusion. It presents the idea as a way to narrow the Chinese equity universe, then suggests refining it with industry and company fundamentals such as profitability and growth. It also includes example formula and Python snippets intended to show how the conditions might be combined into a filter.

The examples have material ambiguities that make the stated screen difficult to reproduce reliably. The price-range expression divides the high-low range by the open but compares it with 1, while the turnover example uses a ratio of volume values rather than a clearly defined actual turnover rate; the prose and code also differ in how the prior-day condition is applied. The post reports no backtest or investment results, and its broad claims about risk reduction are unsupported. Treat the formulas as an incomplete screening sketch, not a tested strategy.

Key ideas

• The proposed screen combines a daily price-range threshold, a turnover filter, and an exchange exclusion.
• The post suggests adding industry and fundamental criteria to refine the stock universe.
• Its example price-range formula and threshold may not match the intended meaning of amplitude.
• The turnover calculation uses volume ratios and is not clearly equivalent to actual turnover rate.
• No backtest evidence is supplied to establish returns or risk reduction.

Tags

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