Screening Shanghai-Listed Stocks by Range and Turnover

Summary

The document describes a simple Chinese equity screen: select stocks whose daily high-to-low range exceeds 1% of the opening price, whose codes begin with 60, and whose turnover lies between 2% and 9%. It also suggests ranking qualifying stocks by turnover. The post gives corresponding formula and Python examples, though the Python snippet uses traded value relative to total market capitalization as a turnover proxy, which may not match the formula’s volume-to-capital calculation.

The rationale offered is that the range condition targets more volatile stocks, the code prefix narrows the market universe, and the turnover band seeks names with some liquidity and investor attention. No performance results or validation are provided. The author notes that volatility and turnover can raise risk, vary with market conditions, and fail to capture a stock’s underlying potential. Combining the screen with market, industry, or fundamental analysis is suggested, but no specific refinement or tested evidence is supplied.

Key ideas

• The screen selects stocks with a high-to-low range above 1% of the opening price.
• It restricts the universe to codes beginning with 60 and turnover between 2% and 9%.
• Qualifying stocks may be ranked by turnover.
• The document provides no backtest evidence, and its two turnover calculations may not be equivalent.

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