Stock Screening with Daily Range, Two-Day High, and Turnover

Summary

This Chinese language stock selection note describes a simple screen based on three price and trading activity conditions: daily amplitude above 1%, the current high matching the highest high across the current and prior day, and the prior day’s actual turnover rate above 3% and no more than 28%. It gives formula examples for expressing these conditions and combines them as a stock selection rule. The accompanying commentary characterizes the screen as a way to find active stocks that may have short term upside potential.

The note also identifies important omissions: it does not account for company fundamentals or valuation, and turnover alone does not establish a stock’s risk. It recommends combining the screen with fundamental, technical, and valuation analysis. No historical test, benchmark, or evidence of realized returns is presented, so the suggested upside remains an unverified hypothesis. The rule is best understood as a mechanical candidate filter whose thresholds and performance would need separate evaluation.

Key ideas

• The screen requires daily amplitude to exceed 1%.
• The current session high must equal the highest high of the current and prior sessions.
• Prior day actual turnover must be above 3% and at most 28%.
• The note warns that the screen omits fundamentals, valuation, and broader risk analysis.
• It provides no backtest evidence that the selected stocks will outperform.

Tags

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