Screening Shanghai-Listed Stocks by Turnover, Volume, and Opening Gap

Summary

This stock screen selects shares whose codes begin with 60, with turnover between 3% and 12%, reported volume above 10,000 lots, and an opening price above the previous close. The stated rationale is to focus on actively traded, liquid stocks showing a positive opening gap. The document also provides a Python example that filters a stock list and retrieves daily and turnover data to apply these conditions.

The note describes a screening rule, not a complete trading system: it gives no entry timing, exit rules, position sizing, benchmark, or backtest results. It warns that opening-price signals and technical indicators have limitations and says company quality should also be considered. Its sample code uses a fixed historical date range and data fields whose units or timing may require checking before practical use, so the screen's behavior and any resulting performance are not established by the document.

Key ideas

• The screen requires a Shanghai-listed stock code beginning with 60.
• It filters for turnover between 3% and 12% and volume above 10,000 lots.
• The opening price must exceed the previous session's close.
• The document offers a screening example but reports no performance test or full trade management rules.

Tags

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