Screening Stocks by Price Range, Recent Return, and Turnover

Summary

This Chinese-language post proposes a stock screen using three conditions: daily price amplitude above 1%, a positive 10-day return below 35%, and prior-day actual turnover between 3% and 28%. The intended rationale is to select shares with noticeable movement, some recent gains without an extreme run-up, and a minimum level of trading activity. Its example code additionally filters for a specified range of circulating market capitalization and sorts by a large-order flow measure, so the implementation includes criteria beyond the headline screen.

The post offers no backtest, benchmark, or evidence that the thresholds produce favorable returns. It cautions that actual turnover can be distorted by factors such as block trades and that the criteria need further evaluation. The code’s turnover calculation uses volume divided by total shares, which may not match the stated actual-turnover measure, and the amplitude and return definitions should be checked against the intended data conventions. The post suggests adding technical and fundamental inputs and applying risk controls, but does not test those extensions.

Key ideas

• The proposed screen combines daily amplitude, 10-day price return, and prior-day turnover thresholds.
• The stated return filter seeks recent gains while excluding stocks above the chosen upper limit.
• The sample code also applies market-capitalization and order-flow filters beyond the headline criteria.
• The post provides no performance test, so the thresholds are hypotheses rather than validated signals.
• Turnover definitions and data conventions should be checked before implementing the screen.

Tags

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