A Chinese Stock Screen Using Turnover, Size, Relative Strength, and ROE

Summary

This post outlines an equity screening approach that combines turnover, circulating share count, market capitalization, relative strength, and return on equity. Its final stated criteria require turnover within a specified band, circulating market capitalization above a threshold, a share count cap, relative strength at or above a threshold, and ROE at or above a threshold. It also provides example formula and data-frame filtering logic, plus a suggested stop-loss level based on the closing price.

The post cautions that the initial screen based mainly on trading activity and company size can select unstable stocks and ignores company fundamentals. It suggests adding technical and fundamental filters and risk controls. The material contains no backtest results, portfolio rules, or evidence that the revised criteria improve returns. Some displayed example code does not fully match the stated final screen, so implementation details and units should be checked before use.

Key ideas

• The screen combines turnover, circulating market capitalization, share count, relative strength, and ROE filters.
• The post proposes a price-based stop-loss as a basic risk control.
• A screen based only on trading activity and size may overlook company fundamentals and expose investors to unstable selections.
• The examples provide screening logic but no performance evidence, and code details should be reconciled with the stated criteria.

Tags

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