Stock Screening by Range, Turnover, and Ten-Day Price Gain

Summary

This Chinese equity screen selects stocks using three filters: an amplitude threshold, previous-day actual turnover between 3% and 28%, and a ten-day price gain between 0% and 35%. The stated intent is to combine recent price behavior with trading activity while limiting the range of short-term gains. The article includes example formulas and sample data code for applying the conditions.

The author notes that the approach omits company fundamentals and may overemphasize short-term activity, potentially missing stocks with stronger longer-term prospects. Suggested refinements include adding financial measures, considering distributions and longer trends, and checking the rules through repeated testing. No backtest, sample period performance, or comparison against a benchmark is provided. The sample formulas also appear inconsistent with the prose: the amplitude calculation and turnover proxy may not measure the named quantities as described. The thresholds should therefore be treated as a screening specification to verify against the intended data definitions before evaluating it.

Key ideas

• The screen combines a range threshold, previous-day turnover from 3% to 28%, and ten-day gains from 0% to 35%.
• Its design aims to filter for short-term movement and trading activity.
• The method does not incorporate company fundamentals and may neglect longer-term potential.
• The author suggests adding financial measures and longer-term trend information.
• No performance evidence is supplied, and the sample formulas may not match the stated metric definitions.

Tags

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