Screening Chinese Stocks by Range, Float Size, and Auction Turnover

Summary

The document presents a Chinese equity screening rule that selects stocks with a daily high-low range above a threshold, circulating market value above a stated floor, and previous-session auction turnover above a threshold. It frames range as a measure of trading activity, market value as a company-size filter, and auction turnover as an indication of liquidity. The post includes reference formulas and a Python example that retrieves stock and daily data, applies the filters, and samples a requested number of names.

The article gives no backtest, performance statistics, or evidence that the screen predicts returns. Its own risk discussion notes that it omits company fundamentals and may over-rely on trading activity and market heat, which can expose users to market swings and trend chasing. It recommends broader consideration of fundamental, technical, and industry factors and stronger risk controls. The code is illustrative and depends on external market-data access; the post does not establish that its data fields, thresholds, or implementation are reliable across periods or platforms.

Key ideas

• The screen combines price range, circulating market capitalization, and prior auction turnover.
• The criteria aim to capture active trading, company scale, and liquidity in Chinese equities.
• The post supplies indicator formulas and a data-driven screening example but reports no strategy test results.
• The author warns that trading-activity filters omit fundamentals and can encourage trend chasing.
• The thresholds and implementation should be evaluated with broader risk controls and historical testing.

Tags

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