Screening Chinese Stocks by Range, Large-Order Activity, and Turnover

Summary

This article proposes screening stocks using price amplitude, large-order net-volume ranking, and a turnover range. It interprets these as rough proxies for volatility, trading activity, and liquidity, respectively, with the aim of finding candidates for further analysis. It also suggests adding technical and fundamental factors and testing the selection logic through backtesting. The supplied formula and Python example illustrate an attempted implementation rather than reporting tested results.

The article warns that short-term trading measures omit companies’ long-term fundamentals and that narrow thresholds may exclude many stocks. Its examples are not fully consistent: the stated turnover band differs from the later recommendation and code conditions, while the Python logic uses turnover and amount checks that do not clearly implement the described large-order ranking. The material gives no performance evidence, and its changing thresholds and unclear variable definitions limit reproducibility. The screen should be treated as a rough research idea requiring clarified data definitions and validation.

Key ideas

• The proposed screen combines price amplitude, large-order net-volume ranking, and turnover as proxies for volatility, activity, and liquidity.
• The article acknowledges that short-term market measures do not assess long-term business fundamentals.
• It recommends adding other indicators and fundamental analysis, then backtesting the selection logic.
• The described turnover thresholds conflict with values used in the examples, making the method difficult to reproduce as written.
• No backtest results or evidence of returns are provided.

Tags

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