Screening Shanghai Main Board Stocks by Range and Turnover

Summary

This Chinese community post describes a basic stock screen for shares whose codes begin with 60. It combines a daily high to low range threshold with a previous day turnover ratio between 3% and 28%. The post presents the conditions as a way to find stocks with notable price movement and trading activity, and gives example formula and Python implementations for applying them.

The article warns that the screen excludes company fundamentals and may produce unstable selections as market conditions change. It suggests supplementing the filters with technical and fundamental analysis and adding constraints such as total share capital or market value. The supplied examples are illustrative rather than a tested strategy: they do not establish predictive performance, explain portfolio construction or exits, or provide risk controls. The turnover calculation and range threshold also need careful interpretation in an actual data pipeline, since implementation details and source data conventions can affect which stocks qualify.

Key ideas

• The screen selects stocks with codes beginning with 60 and a high to low range greater than its stated threshold.
• It also requires the previous day’s actual turnover to fall between 3% and 28%.
• The post offers formula and Python examples, but reports no backtest or trading results.
• The author identifies missing fundamental information and changing market conditions as limitations.
• Adding fundamental, technical, capitalization, or market value filters is proposed as a possible refinement.

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