Screening Shanghai-Listed Stocks by Price Range and Prior Turnover

Summary

This post describes a simple daily stock screen: select shares whose high-to-low range exceeds one percent, whose prior-day trading amount exceeds 60 million, and whose codes begin with 60. It provides example logic in two environments and combines the three conditions into a single filter. The stated rationale is to find actively traded stocks with short-term price movement, while restricting the universe to a particular code prefix.

The post warns that short-term volatility can lead to chasing rising prices or selling into declines, and that the code restriction excludes other stocks. It suggests adding technical measures or fundamental criteria such as valuation ratios and return on equity to refine the screen. No historical test, performance figures, transaction cost analysis, or precise definition of the turnover field is supplied, so the criteria should be treated as a screening example rather than evidence of a profitable strategy.

Key ideas

• The screen requires a daily price range above one percent and prior-day trading amount above 60 million.
• It restricts eligible stocks to those whose codes begin with 60.
• The post frames volatility and turnover as ways to identify active short-term candidates.
• The code prefix can exclude otherwise eligible stocks from other parts of the market.
• The post suggests adding technical and fundamental measures but presents no performance test.

Tags

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