Stock Screening by Relative Volume and Prior-Day Turnover

Summary

This Chinese stock-screening post describes ranking shares by relative volume and restricting the prior day’s actual turnover to a range above 3% and below 28%. It says to select the top 100 by the volume ratio and the top 100 by turnover, and frames these measures as indicators of market attention. The post refers to data from 2021, then suggests adding valuation measures such as price-to-earnings and price-to-book ratios and considering other periods.

The author flags that relying on volume and turnover alone can miss other relevant factors, that a broad selection may vary in quality, and that a single historical period may not reflect changing conditions. No backtest, return data, or detailed ranking procedure is provided. The sample indicator references are questionable: the same volume-weighted average price function is listed for both volume ratio and turnover, so the code hints should not be treated as a verified implementation. The post’s final logic also reads more like proposed extensions than a fully specified reproducible screen.

Key ideas

• The proposed screen ranks stocks by relative volume and prior-day turnover.
• It specifies separate top-100 selections and a turnover band above 3% and below 28%.
• The post suggests adding valuation measures and testing other time periods.
• It warns that volume and turnover alone may produce uneven stock quality.
• No performance evidence is supplied, and the listed indicator references do not clearly implement the stated measures.

Tags

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