Screening Stocks by Price Range, Turnover, and Daily Gain

Summary

The post describes a simple Chinese stock-selection rule: choose shares whose daily high-to-low range exceeds one, whose prior-day turnover exceeds 60 million, and whose current-day price gain is above 1%. It frames the conditions as a combination of price movement, trading activity, and immediate positive momentum. A short code reference is included, although it does not provide a backtest or demonstrate that the data calculations match the stated conditions in all cases.

The author notes that a stock rising more than 1% on the day may still reverse, and that the rule leaves out other market and company fundamentals. Suggested improvements include adding more fundamental and market filters or replacing the one-day gain condition with a measure based on recent moving-average trends. No performance results, holding period, entry timing, or exit method are reported, so the screen should be treated as a candidate selection heuristic rather than a tested trading strategy.

Key ideas

• The rule selects stocks using daily price range, prior-day turnover, and a positive current-day return.
• It combines a volatility condition with liquidity and short-term momentum filters.
• A single day’s gain does not establish that the advance will continue and may be followed by a pullback.
• The post suggests adding further fundamental and market conditions or using a recent trend measure.
• No backtest results or exit rules are provided.

Tags

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