A Chinese Stock Screen Using Turnover, Daily Gains, and Float Size

Summary

This post describes a rule-based screen for Chinese main-board stocks. It selects shares with turnover between 3% and 12%, a daily gain above 1%, and a circulating share count no greater than 5.5 billion. The stated intent is to combine trading activity, recent price strength, market-board eligibility, and float size when narrowing the universe.

The post cautions that the float-size filter can leave few candidates and may overweight a relatively fixed characteristic. It also notes that stocks with smaller floats can be more exposed to large-player price manipulation, and suggests considering other liquidity measures and fundamental analysis. Code references are included, but the entry provides no backtest results, transaction-cost analysis, or evidence that the screen produces profitable trades. The specified conditions are screening criteria, not a complete entry, exit, or risk-management system.

Key ideas

• The screen requires turnover between 3% and 12% and a daily price rise above 1%.
• It restricts candidates to main-board shares with a circulating share count up to 5.5 billion.
• The post presents the screen as a way to combine activity, price movement, and float size.
• It warns that a narrow float-size focus can omit other relevant factors and increase exposure to manipulation.
• No evidence of trading performance or complete portfolio rules is provided.

Tags

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