A Chinese Equity Screen Using Turnover, Recent Leaderboard Activity, and Control

Summary

This post describes a Chinese stock selection screen based on turnover between 3% and 12%, appearance on the previous day’s trading leaderboard, and a current control indicator above 21. It also gives a formula-style expression and a Python example that calculate a capital imbalance measure from buy and sell amounts, then filter stocks using those conditions and a positive daily candle.

The accompanying discussion says the leaderboard and control measures are intended to identify stocks receiving attention and potentially reflect market hotspots. It warns that relying on such a narrow set of signals can omit market conditions and company fundamentals, making selections incomplete or unstable. The post suggests expanding the screen with technical and fundamental criteria, but provides no backtest, performance evidence, or validation for the thresholds. Treat it as an example of rule-based screening logic rather than evidence of an effective strategy.

Key ideas

• The screen selects Chinese equities with turnover from 3% to 12%, prior-day leaderboard presence, and a control reading above 21.
• The example also filters for positive capital imbalance and a daily close above the open.
• The post interprets leaderboard activity and control readings as signs of market attention.
• The author cautions that the narrow criteria omit fundamentals and broader market conditions.
• No backtest or performance evidence is provided to validate the signals or thresholds.

Tags

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