Screening Shanghai Stocks by Turnover and Two-Day Closing High

Summary

This note describes a Chinese equity screen combining turnover with a stock-code filter and a recent price condition. It selects stocks whose codes begin with 60 and whose turnover is between 3% and 12%, then ranks candidates by the highest closing price across the latest two trading days. The accompanying example retrieves listed-stock data and applies the two-day closing-price calculation.

The text offers no backtest, performance results, or evidence that the screen predicts returns. It characterizes the approach as a way to find short-term candidates, while acknowledging that market fluctuations may make selected stocks volatile and that a recent high alone may be insufficient. It suggests adding technical indicators and risk controls, but does not specify or evaluate them. The example uses fixed dates, so its implementation does not directly establish a live, rolling signal.

Key ideas

• The screen restricts candidates to stocks with codes beginning with 60 and turnover between 3% and 12%.
• It ranks candidates by the highest closing price over the latest two trading days.
• The document provides a data retrieval example but no backtest or performance evidence.
• It identifies market volatility and an incomplete short-term assessment as key limitations.

Tags

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