A-Share Screen Using Turnover, Shanghai Listing, and Positive Return

Summary

This note describes a simple Chinese equity screen: select stocks with turnover rates between 3% and 12%, codes beginning with 60, and a positive recent return. It frames the turnover band as a liquidity filter, the code prefix as a way to restrict the stock universe, and positive return as a basic performance condition.

The post gives a Python example that retrieves daily data, applies the screening conditions, then looks up market capitalization and ranks qualifying names by size. It does not report historical performance, a backtest, or evidence that the filters predict returns. Its code example has a data-field inconsistency: it accesses turnover rate from daily data while the referenced data fields omit that value. The author also notes that the rule leaves out company fundamentals and fuller return and risk measures, and suggests adding valuation or technical indicators. The screen is therefore a narrow selection rule, not a validated trading strategy.

Key ideas

• The screen requires turnover between 3% and 12%, a stock code beginning with 60, and a positive return.
• The code prefix restricts the eligible universe to a subset of Chinese listed equities.
• The example ranks selected stocks by market capitalization after applying the screening conditions.
• The post supplies no performance test and flags missing fundamental and risk analysis.

Tags

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