Screening Shanghai-Listed Stocks by Amplitude and Prior-Day Turnover

Summary

This Chinese equity screen selects stocks whose codes begin with 60, whose intraday high-to-low range exceeds 1% of the opening price, and whose previous-day turnover rate was above 8%. The document interprets the range threshold as a way to find more volatile shares and the turnover requirement as a measure of trading activity. Its indicator example also describes ranking candidates by price change, although the accompanying Python example instead sorts by closing price.

The material provides formulas and sample code but no backtest, performance evidence, or trade-management rules. The author warns that focusing on volatility and high turnover can exclude other promising stocks, and that changing market capitalization may affect investment value. Suggested additions include market conditions, financial data, industry analysis, and predictive models, but these are ideas for further work rather than validated improvements.

Key ideas

• The screen requires a high-to-low price range above 1% of the opening price.
• It limits candidates to code prefixes beginning with 60 and prior-day turnover above 8%.
• The document describes ranking candidates, but its formula and Python example use different sorting measures.
• The strategy has no reported performance test and may miss stocks outside its activity-based filters.

Tags

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