Screening Shanghai-Listed Stocks by Range and Turnover

Summary

This stock screen selects shares whose codes begin with 60, whose daily high-to-low range is at least 1%, and whose turnover rate is above 2% and no more than 9%. The document frames the range condition as a way to identify active price movement and the turnover band as a filter on trading activity. It provides example screening logic and a Python illustration using daily stock data.

The approach is a narrow, rule-based filter rather than a complete investment strategy: it gives no entry, exit, or position-sizing rules and reports no backtest or performance evidence. The document itself cautions that it excludes company fundamentals and may miss stocks outside the chosen code prefix. Its Python example estimates turnover using recent volume observations, which is not necessarily equivalent to the stated turnover-rate criterion, so implementation and data definitions need checking. It suggests combining the screen with other technical or fundamental measures and adjusting thresholds to suit the intended universe.

Key ideas

• The screen requires a stock code beginning with 60, a daily range of at least 1%, and turnover above 2% up to 9%.
• The stated rationale is to combine price movement with a moderate level of trading activity.
• The code-prefix condition restricts the candidate universe and can omit other potentially suitable shares.
• The screen does not incorporate company fundamentals or specify trade execution and risk rules.
• The sample implementation's volume-based turnover estimate may differ from the stated turnover-rate filter.

Tags

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