Screening Shanghai Stocks by Turnover and Daily Price Change

Summary

This note describes a simple Chinese equity screen: select stocks whose codes begin with 60, whose turnover rate is between 3% and 12%, and whose daily change is greater than -5% but less than 2.6%. It presents the screen as a way to find stocks with relatively moderate daily movement, and includes a Python example that retrieves listed stocks and checks daily percentage changes.

The note cautions that the screen uses few inputs and does not account for valuation, major investor flows, or broader risk. It suggests combining the turnover, code-prefix, and price-change filters with additional measures and risk controls. It provides no backtest, performance evidence, or detailed definition of the proposed additional indicators; the example uses a specific historical date range and should not be taken as evidence of current effectiveness.

Key ideas

• The screen filters Shanghai-listed stocks using a 3%–12% turnover range and a daily change between -5% and 2.6%.
• The Python example applies the code-prefix and daily-return conditions to stock data.
• The note identifies the limited number of screening inputs as a key weakness.
• It recommends adding other evaluation measures and risk controls, but reports no test results.

Tags

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