A China A-Share Screen Using Turnover, Float Value, and Daily Drawdown
Summary
The proposed screen selects main-board stocks with circulating market value between 5 billion and 10 billion yuan, turnover between 3% and 12%, and a stated daily maximum decline between 4% and 5%. The article presents the filters as a way to find stocks after a sharp daily decline, and includes reference expressions for implementing the selection in trading and research environments.
The article itself cautions that this rule set is narrow because it relies heavily on price decline and trading activity while omitting company fundamentals. It recommends adding measures such as revenue and profit growth or return on equity, combining technical indicators, and adjusting for market conditions. No backtest results or evidence of profitability are supplied. The displayed formula’s inequalities for the decline appear inconsistent with the stated range, so its implementation should be checked before use.
Key ideas
- The screen combines main-board eligibility, circulating market value, turnover, and a daily decline filter.
- Its stated thresholds are 5–10 billion yuan in circulating value and 3%–12% turnover.
- The article warns that price and trading activity alone omit important fundamental information.
- It suggests adding growth and return measures and considering broader market conditions.
- The provided formula appears inconsistent with the described decline range and merits verification.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.