Screening Shanghai-Listed Stocks by Turnover and Daily Range

Summary

This stock screen selects shares with turnover between 3% and 12%, codes beginning with 60, and a daily amplitude of at least 1. The document frames turnover as a liquidity filter and amplitude as a way to focus on more volatile candidates. It supplies example implementations of the screen, but reports no backtest, performance figures, or evidence that these filters predict returns.

The screen is limited: code prefix is an exchange identifier rather than a valuation signal, and turnover and amplitude alone do not capture company quality or broader market conditions. The document notes that a volatility filter can select unsuitable names during broad market swings. It suggests adding valuation, size, and growth measures and filtering special-treatment or delisting risks. Those additions are proposals, not tested improvements.

Key ideas

• The screen requires turnover from 3% to 12% and a stock code beginning with 60.
• It also requires daily amplitude of at least 1.
• The document presents the rules as a candidate stock-selection method, without performance evidence.
• It identifies broad market swings and omitted company fundamentals as limitations.
• Suggested additions include size, valuation, growth, and risk filters.

Tags

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