Stock Screening with Amplitude and Turnover Thresholds

Summary

This document describes a Chinese stock selection rule combining daily price amplitude with current and prior-day turnover. It selects stocks whose high-to-low amplitude is at least 1%, whose current turnover is above 2% and no more than 9%, and whose previous day's turnover exceeded 8%. The stated rationale is to identify stocks with meaningful price movement and active trading, while avoiding the broadest range of current turnover.

The article gives matching formulas and a Python example that retrieves stock data and applies turnover and market capitalization filters. However, the example does not clearly implement the stated amplitude condition, and its indexing of daily turnover data may not reliably represent the previous trading day. No backtest results or performance evidence are provided. The article acknowledges that the screen relies on a narrow set of recent trading activity measures and suggests combining it with technical and fundamental analysis. It should be treated as a candidate filter, not a complete strategy.

Key ideas

• The screen requires at least 1% daily amplitude, current turnover above 2% and at most 9%, and prior-day turnover above 8%.
• The proposed rationale is to find actively traded stocks with notable price movement.
• The Python example also applies a market capitalization filter, although this is not part of the stated core rule.
• No performance evidence is provided, and the screen omits broader technical and fundamental context.

Tags

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