Screening Shanghai-Listed Stocks by Turnover and a New Intraday Low

Summary

This post presents a screen for mainland Chinese stocks whose codes begin with 60, whose turnover rate is between 3% and 12%, and whose current daily low is below the previous day’s low. It interprets the lower low as a possible mean-reversion setup, while the turnover band is meant to narrow the universe to stocks with moderate trading activity. The article proposes supplementing these price and turnover conditions with company profitability and growth measures.

The post supplies example formula and Python snippets, but no backtest, trade outcomes, or evidence that lower lows tend to rebound under these filters. It cautions that the screen omits company fundamentals unless added separately and is based mainly on technical conditions. The sample code uses selected historical dates and includes calculations beyond the core screen, so it should not be treated as a fully specified or validated live strategy. The rebound rationale remains a hypothesis requiring testing.

Key ideas

• The screen selects 60-prefixed stocks with turnover from 3% to 12% and a lower daily low than the prior day.
• The post treats the lower low as a possible rebound signal, which is a mean-reversion hypothesis.
• It recommends considering profitability and growth alongside the technical filters.
• The examples provide no test results, and their historical data choices do not establish live performance.

Tags

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