A China Stock Screen Using Turnover, Listing Year, and Opening-Time Price Range

Summary

The document describes a stock selection rule that filters for turnover between 3% and 12%, companies listed in 2021, and an observation at 9:25 with a price increase below 6%. It presents the screen as a way to refine entry timing and avoid buying after a large early move. A formula reference and sample Python outline are included, though the code's turnover filters do not consistently match the stated percentage rule.

The author cautions that the screen relies on a narrow set of features, may omit fundamental and technical risks, and is sensitive to market conditions and the chosen observation time. Suggested additions include valuation and leverage measures and technical indicators, along with further tuning of timing and price thresholds. No backtest results, return data, benchmark comparison, or evidence that the screen improves outcomes are supplied, so its effectiveness remains unestablished.

Key ideas

• The screen selects stocks by turnover, listing year, observation time, and price movement.
• Its stated criteria require turnover from 3% to 12%, a 2021 listing, and a 9:25 reading below a 6% increase.
• The document warns that these conditions omit other potentially important risk and return factors.
• The sample code contains turnover thresholds that are inconsistent with the stated percentage criteria.
• No measured performance or backtest evidence is provided.

Tags

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