A Chinese A-Share Screen Using Turnover, Daily Gains, and Ownership

Summary

This document describes a rule-based screen for main-board Chinese shares. It selects stocks with turnover between 3% and 12%, a daily gain greater than 1%, and a stated concentration measure between 20% and 70%. The accompanying example code uses recent observations and also filters for Shanghai-listed symbols while excluding securities marked ST, so its implementation does not fully mirror every element of the prose description. The concentration proxy is defined using senior-management shareholding relative to total shares.

The rationale is to favor active, relatively tradable stocks while limiting extreme ownership concentration. The author cautions that concentration alone does not determine company quality and that relying on a narrow set of inputs can produce mistaken selections. Suggested extensions include adding financial-statement and industry measures and assessing liquidity. No backtest, return series, benchmark comparison, or transaction-cost analysis is provided, so the screen should be understood as a proposed selection rule rather than evidence of performance. The differing descriptions of concentration and market filters also mean an implementation should verify its data fields and intended universe.

Key ideas

• The screen combines turnover, daily price change, market-board membership, and an ownership concentration range.
• The stated thresholds are turnover from 3% to 12%, a daily gain above 1%, and concentration from 20% to 70%.
• The code uses senior-management ownership as its concentration proxy and adds listing and ST-status filters.
• The author warns that concentration is not a standalone measure of company quality and single-factor screens can misclassify stocks.
• No performance test or transaction-cost evidence is supplied, and the prose and code filters differ in places.

Tags

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