Screening Chinese Stocks by Price Range, Volume Ratio, and Turnover

Summary

The document describes a short-term stock screen combining daily price range, relative trading volume, and prior-day turnover. It selects stocks whose high-to-low range is at least 1%, whose volume is between 1.5 and 6 times its five-day average, and whose prior-day turnover exceeds 8%. The rationale is that these filters seek price movement and active trading without selecting the most extreme volume spikes.

It also provides example implementations in a Chinese stock screening platform and Python, along with cautions and suggested additions such as valuation, profitability, and broader liquidity measures. The discussion offers no backtest, performance comparison, or evidence that the thresholds improve returns. The stated turnover condition may not capture overall liquidity, and the screen can miss fundamental risks; the Python example’s conditions also do not fully align with the written description of using prior-day turnover.

Key ideas

• The screen requires a daily high-to-low price range of at least 1%.\nIt filters for volume between 1.5 and 6 times the five-day average.\nIt also requires prior-day turnover above 8%.\nThe document suggests adding fundamental measures and broader liquidity checks.\nNo backtest or performance evidence is provided.

Tags

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