Screening Chinese Stocks by Range, Trading-List Appearance, and Turnover

Summary

This post describes a short-term stock screen combining three prior-day conditions: price amplitude above 1%, appearance on the market’s named trading list, and turnover above 8%. The rationale is to find shares with notable movement and active trading, which the author associates with market attention and potential short-term opportunity. It gives reference formulas and example code for calculating amplitude, checking list membership, and intersecting the qualifying stock sets.

The post also notes that the screen may return few candidates, can overemphasize limit-up or other highly active stocks, and focuses on recent behavior rather than longer-term trends. Suggested extensions include adding technical indicators, fundamental and industry data, adjusting the turnover threshold to market conditions, or using machine learning. No backtest results, benchmark, transaction-cost assumptions, or evidence that the screen predicts returns are provided, so its stated rationale remains a hypothesis rather than demonstrated performance.

Key ideas

• The screen requires prior-day amplitude above 1%, trading-list appearance, and turnover above 8%.
• Its rationale is to identify volatile stocks with elevated attention and trading activity.
• The example calculates amplitude relative to the previous close and intersects qualifying stock sets.
• The post warns that a narrow screen may return few stocks and may miss broader market trends.
• It offers technical, fundamental, threshold-adjustment, and machine-learning extensions without reporting tested results.

Tags

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