Screening Shanghai-Listed Stocks by Turnover and Recent Price Jumps

Summary

This post describes a Chinese equity screen for stocks whose codes begin with 60, whose turnover rate falls between 3% and 12%, and that had at least one daily gain of 10% or more during the prior 25 trading sessions. It frames the past sharp rise as a sign of recent market attention and the turnover band as a way to avoid both very quiet and highly active names. The post also includes an indicator expression and an illustrative Python workflow for collecting stock data and ranking candidates by recent price change.

No backtest results, benchmark comparison, or evidence of subsequent returns is supplied. The accompanying example uses a specific historical date window, and its turnover calculation and thresholds are not fully consistent with the stated percentage band, so implementation details need care. The author notes that the screen ignores company fundamentals and may select unstable stocks, suggesting financial-statement and technical filters as additions. It does not define entry, exit, or position sizing rules.

Key ideas

• The screen selects code-60 stocks with turnover between 3% and 12% and a 10% daily gain within 25 sessions.
• The post treats a recent sharp rise as a signal of market attention, without demonstrating predictive value.
• An illustrative workflow retrieves stock data and ranks selected stocks by price change.
• The author flags missing fundamental analysis and instability risk, and proposes adding financial and technical filters.
• The example’s date window and turnover calculation may not match the stated screen exactly.

Tags

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