A-Share Screen by Turnover, Listing Code, and Tradable Share Count

Summary

This document describes a stock screen requiring turnover between 3% and 12%, a stock code beginning with 60, and a circulating share count no greater than 5.5 billion shares. It presents the turnover band as a liquidity filter and the float limit as a way to focus on companies with smaller tradable share counts. The article includes a sample data workflow for collecting listed stocks and market data, followed by sorting candidates using market value, volume ratio, and daily return.

The screen is not supported by a backtest or evidence that smaller floats lead to better investment outcomes. The article asserts that smaller-float stocks may offer greater value or growth, but gives no analysis to substantiate that claim. It identifies market downturns and macroeconomic weakness as risks and suggests adding valuation or company-level factors. The sample workflow does not implement the stated turnover condition and appears to treat a market-value field as a share-count measure, so the code may not reproduce the described rule without correction.

Key ideas

• The stated screen combines a 3%–12% turnover band, codes beginning with 60, and a float cap of 5.5 billion shares.
• Turnover is used as a liquidity filter and float size as a company-size characteristic.
• The article supplies a sample data workflow but no backtest or return evidence.
• Its code does not implement the turnover condition and may confuse market value with share count.
• The post flags macroeconomic risk and recommends adding valuation or company-level analysis.

Tags

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