A Chinese Equity Screen Using Turnover and Circulating Market Value

Summary

This note describes a Chinese equity screening rule that requires turnover between 3% and 12%, circulating market value between 5 billion and 10 billion, and total company value above 200 million. It includes a charting formula and a Python example, both of which also leave a further selected-condition filter for the user to define. The stated rationale is to focus on relatively active shares within a specified size range, while allowing additional company criteria to be added.

The article gives no backtest, return evidence, or definition of the extra selection condition, so the screen should be understood as a set of filters rather than a tested strategy. Its broad criteria may select companies with varied business profiles and market behavior, and turnover-focused selection may emphasize short-term trading activity over long-term prospects. It suggests refining thresholds by industry and market conditions and adding trend or fundamental-change measures. The source does not specify execution rules, portfolio weights, or risk limits.

Key ideas

• The screen filters for turnover between 3% and 12% and circulating value between 5 billion and 10 billion.
• It also requires total company value above 200 million.
• An additional selection condition is left for the user to define.
• The note cautions that broad filters can select dissimilar companies and miss long-term fundamentals.
• No backtest or evidence of profitability is included.

Tags

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