Screening Shanghai-Listed Stocks with Turnover and Bollinger Bands

Summary

The document describes a stock screen for Chinese equities whose codes begin with 60, whose turnover rate falls within a specified range, and whose closing price is within a Bollinger Band region. It outlines a Python-style workflow: obtain the eligible stock list, retrieve price and turnover data, calculate a rolling middle band and standard-deviation-based upper and lower bands, then filter candidates. It also notes that technical filters omit fundamental information and suggests combining them with other indicators or fundamentals.

There is an inconsistency between the stated rule and the example implementation. The prose specifies a close between the upper and middle bands, while the code checks whether the close is between the lower and upper bands. The material reports no backtest, returns, or evidence that the screen improves selection. Data dates, field definitions, and the discrepancy should be resolved before treating the example as an implementable rule.

Key ideas

• The screen combines a turnover range, a stock-code prefix, and a Bollinger Band price condition.
• The example calculates rolling bands from closing prices and filters a stock universe using daily data.
• The written rule calls for a close between the middle and upper bands, but the code checks between the lower and upper bands.
• The article reports no performance testing and notes that the technical screen omits fundamental factors.

Tags

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