Screening Shanghai Stocks by Daily Range and Prior Turnover

Summary

This document describes a Chinese equity screen combining a daily price-range threshold, stocks whose codes begin with 60, and a prior-day turnover proxy constrained to a stated band. It explains that the range condition seeks more volatile shares and presents the code prefix as a way to select a particular market segment. The turnover rule is intended to capture trading activity, though the document's claim that it signals better market performance is not supported with evidence.

The post gives formula and Python examples, but they do not precisely implement the prose: the turnover calculation uses volume divided by its rolling standard deviation rather than an explicit actual turnover rate, and the lag is two rows. No backtest, performance figures, or validation are provided. The author notes that relying on a single technical screen can produce false signals, that high-range stocks carry greater risk, and that fundamental analysis is absent. Suggested extensions include additional indicators, fundamental data, market-specific filters, or a multifactor model.

Key ideas

• The screen combines a daily range greater than one percent with a stock-code prefix beginning with 60.
• It also requires a lagged volume-to-rolling-standard-deviation measure to fall within a specified band.
• The examples do not clearly match the prose definition of actual turnover or the stated prior-day timing.
• The post provides no empirical performance evidence and warns that high volatility and single-indicator screening can create risk.

Tags

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