Screening Stocks by Intraday Range, Turnover, and Opening Gain

Summary

This Chinese equity screen selects stocks whose daily amplitude is at least 1%, turnover is above 2% and no more than 9%, and the referenced 9:25 price change is below 6%. The intended dimensions are price volatility, trading activity, and a short-term market move. The document includes formula and Python examples for applying the conditions.

The article offers no backtest or performance evidence and explicitly treats the rules as a limited, short-horizon screen rather than a measure of long-term value. Its implementations do not align cleanly: one formula uses a historical reference to approximate the 9:25 move, while the Python example checks the opening price relative to the previous close and its comparison does not match the stated below-6% condition. The author recommends adding technical and fundamental measures and refining the observation time and method.

Key ideas

• The screen filters for amplitude of at least 1% and turnover above 2% through 9%.
• It also requires the referenced 9:25 price change to be below 6%.
• The formula and Python examples use differing proxies for the morning price condition.
• The document reports no results and notes that these short-term filters do not establish long-term value.

Tags

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