A-Share Screen by Turnover, Circulating Value, and Float Size

Summary

This post describes a rule-based screen for Chinese equities. It selects stocks with turnover between 3% and 12%, circulating market value from 5 billion to 10 billion yuan, and circulating share capital no greater than 5.5 billion shares. The stated rationale is to narrow the universe by trading activity and company size while capping the available float.

The post notes that these filters do not assess a company’s underlying value, so they may select weak businesses. It suggests adding fundamental, technical, policy, sector, and ownership factors for a broader assessment. It provides both a formula-style expression and Python-like example logic, but no historical performance, benchmark comparison, or evidence that the selection rules identify superior stocks. The examples also differ slightly at interval boundaries: the prose and formula use strict turnover and market-value inequalities, while the sample code uses inclusive comparisons for some conditions. Any implementation should resolve these choices and test the rules against appropriate data.

Key ideas

• The screen requires turnover from 3% to 12%, circulating value from 5 billion to 10 billion yuan, and float size at or below 5.5 billion shares.
• Its filters focus on activity and size rather than business quality or intrinsic value.
• The post recommends considering sector conditions, ownership, and other fundamental or technical information.
• No backtest or comparative evidence is given, and the examples use inconsistent interval boundaries.

Tags

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