A China Stock Screen Combining Turnover and Listing Year

Summary

This stock-selection note describes a screen for Chinese equities that combines turnover constraints with a listing-year filter. Its stated logic first selects stocks with turnover between 3% and 12%, then limits the universe to companies listed in 2021 and applies an additional turnover range of 2% to 9%. The supplied implementation also includes filters involving share float, trading volume, a price comparison with the prior close, and an IPO-year field, so the code is more restrictive and not fully consistent with the verbal description.

The document presents screening logic and example code, but provides no backtest, selected-stock examples, returns, or evidence that the conditions identify undervalued shares. It acknowledges that turnover and listing-year filters are narrow and can omit relevant risks or characteristics, and that results may depend on market conditions. Fundamental and technical filters, plus testing across markets and periods, are suggested as possible refinements.

Key ideas

• The stated screen combines turnover ranges with a 2021 listing-year requirement.
• The verbal description applies overlapping turnover bands, while the sample code adds further filters.
• The document offers code examples but reports no backtest results or strategy performance.
• The narrow screen may overlook company-specific risks and can behave differently across market conditions.

Tags

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