A-Share Screening by Turnover and Circulating Market Value

Summary

This document describes a Chinese A-share stock screen using a turnover ratio from 3% to 12%, circulating market value from 1 billion to 55 billion yuan, and exclusion of stocks whose names contain a Beijing reference. It gives equivalent screening logic and example code, then suggests adding profit growth and return on equity filters and using a stop-loss level set below the closing price. The article notes that the basic screen does not assess company performance or industry prospects.

The material is a rule sketch rather than a tested strategy: it provides no backtest, return series, benchmark, or evidence that the filters improve results. Its discussion also has an inconsistency: the heading refers to circulating shares, while the final rules and code use circulating market value. The suggested quality filters are illustrative, and the document does not specify how to handle data timing, rebalancing, transaction costs, or position sizing.

Key ideas

• The screen selects stocks with turnover between 3% and 12%.
• It limits circulating market value to 1 billion through 55 billion yuan and excludes Beijing-named A-shares.
• The article proposes profit growth and return on equity as additional company-quality filters.
• It gives a stop-loss example set at 90% of the closing price.
• The document supplies no performance evidence and does not define portfolio or execution rules.

Tags

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