Stock Screening with Price Amplitude, Turnover, and Prior-Day Top-Trader Activity

Summary

This Chinese stock-selection screen requires price amplitude of at least 1, turnover above 2% and at most 9%, and a top-trader-list event on the previous day. It combines a volatility filter with a trading-activity range and a recent market-flow signal. The article explains that the event may reflect changes in investor activity, while noting that it may be localized or an incomplete picture of a stock.

Formula and Python examples are included, but the document gives no backtest results or evidence that the event predicts returns. The examples also vary in how they implement the time window and turnover limits, so their outputs may not match the written rule exactly. The article suggests combining the screen with technical and fundamental indicators and refining the timing logic. The conditions are a basic candidate filter and do not account for the full set of factors that can affect a stock’s prospects.

Key ideas

• The screen combines amplitude of at least 1, turnover above 2% and at most 9%, and a top-trader event on the prior day.
• The article uses amplitude as a volatility measure and turnover as a measure of trading activity.
• A prior-day top-trader event is treated as a clue about recent trading flows, not a definitive signal.
• The examples vary from the stated rule in their time window and turnover boundaries.
• The document reports no performance results and recommends considering additional technical and fundamental information.

Tags

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