A Chinese Stock Screen Using Turnover, Daily Gains, and Price

Summary

This post describes a mainland China equity screen for non-ST main-board stocks. It selects shares with turnover between 3% and 12%, a daily gain above 1%, and a price below 12 yuan. The accompanying indicator and Python examples show ways to express filters for price, turnover, recent performance, and stock classification, though the code and stated screening logic are not fully consistent in every detail.

The author frames turnover and daily price change as activity and market-mood filters, while warning that a low share price does not establish value and may coincide with weak company fundamentals or financial risk. Suggested refinements include adding valuation and revenue-growth measures, as well as examining volume-price behavior and chart patterns. The post provides no backtest results or evidence that the screen is profitable, and it notes that policy or sentiment shifts can affect prices.

Key ideas

• The screen targets non-ST main-board shares with turnover from 3% to 12%, a daily rise above 1%, and a price under 12 yuan.
• The post combines trading activity, recent price movement, and a low share-price threshold.
• A low nominal share price alone does not indicate that a company is undervalued or financially sound.
• Possible additions include valuation, revenue growth, volume-price analysis, and technical patterns.
• The post supplies no performance evidence, and its sample implementations do not match every stated condition exactly.

Tags

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