A Chinese Stock Screen Using Turnover, Float Market Cap, and Price

Summary

This note describes a simple Chinese equity screen using turnover of 3% to 12%, a circulating market capitalization of 5 billion to 10 billion yuan, and a share price around 18.5 yuan. It presents the criteria as a way to find stocks with a chosen level of trading activity and liquidity, then gives example implementations using platform indicators and Python-style data processing. The examples differ slightly: the written rule centers on a price around 18.5 yuan, while the formulas use a range from 18 to 19, and the Python example checks mean values over available observations.

The article supplies no backtest, performance results, or evidence that these thresholds predict returns. It warns that the screen omits company fundamentals and relies on a small set of subjective indicators, which can lead to missed candidates or false selections. It suggests adding fundamental and technical measures and revisiting parameter choices. The screen is therefore a filtering recipe, not a complete investment strategy or a demonstrated source of trading edge.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and circulating market capitalization between 5 billion and 10 billion yuan.
• The stated price target is around 18.5 yuan, while the example formulas use a range of 18 to 19 yuan.
• The Python example evaluates average turnover, capitalization, and closing price across available observations.
• The document provides no performance test and cautions that the screen excludes fundamental analysis.

Tags

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