Stock Screening by Daily Range, Turnover, and Float Market Value

Summary

This document describes a Chinese-equity screening rule combining daily price range, turnover, and free-float market value. It selects stocks with an intraday range above 1%, turnover above 2% and no more than 9%, and float market value above 10 billion yuan. The stated rationale is to find stocks with noticeable movement and trading activity while favoring larger companies.

The note provides formula and Python examples, but no historical performance evidence or testing results. It flags the rule as relatively simple and risky, and observes that market value alone does not establish a company's underlying worth. It suggests combining the screen with technical indicators or financial measures such as revenue and net income. The document does not specify how often to rebalance, how to handle execution, or how the thresholds were selected.

Key ideas

• The screen requires a daily price range above 1%, turnover above 2% and at most 9%, and float market value above 10 billion yuan.
• The conditions aim to combine price movement and trading activity with a preference for larger companies.
• The document provides implementation examples but no evidence of backtested or live performance.
• The author cautions that the criteria are narrow and market capitalization does not necessarily reflect fundamental value.

Tags

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