Screening Stocks by Intraday Range, Turnover, and a Sharp Decline

Summary

This note proposes a Chinese stock screen combining three conditions: a stated daily amplitude above 1, previous-day actual turnover between 3% and 28%, and a current-day maximum decline between 4% and 5%. It frames the conditions as a way to find actively traded stocks undergoing a pullback. The article provides example implementations in indicator-formula syntax and Python, but does not present backtest results or evidence that the screen predicts rebounds.

The method has material specification limits. The examples appear to calculate volume ratios rather than actual turnover, and their amplitude threshold may be ambiguous because the text does not say whether 1 means a percentage or a ratio. The code also uses a close-price comparison as a proxy for the stated maximum intraday decline. The article itself cautions that market sentiment, manipulation, and broader market changes can undermine the screen, and suggests adding financial and technical filters and risk controls. The examples should therefore be checked against the intended definitions and data before use.

Key ideas

• The proposed screen combines daily amplitude, previous-day turnover, and a current-day decline range.
• The article presents the screen as a way to identify active stocks that may be pulling back.
• Its sample code may not implement the stated turnover and intraday-decline definitions faithfully.
• No backtest or performance evidence is provided, and the author notes market and strategy failure risks.

Tags

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