A-Share Screening by Turnover and Market Heat

Summary

This document outlines an A-share stock screen based on turnover between 3% and 12%, excluding Beijing-listed shares, then ranking candidates by a measure of individual-stock popularity or market heat. It presents the turnover range as a way to focus on actively traded stocks without selecting solely for extreme activity. The accompanying discussion recognizes that this is a market-information-driven screen and may select companies with weak fundamentals.

The article recommends combining the screen with fundamental and technical measures, such as valuation and relative strength, and retaining popularity as a ranking input. A Python example sketches filtering by positive price-to-earnings data and turnover, then collecting and sorting candidates using trading data. However, the example does not clearly implement the stated popularity ranking, and its data fields and sorting logic appear inconsistent. No backtest, return data, or evidence that the screen predicts performance is supplied; the stated criteria should be treated as a screening concept requiring careful implementation and validation.

Key ideas

• The proposed screen selects A-shares with turnover in the stated range and excludes Beijing-listed shares.
• Candidates are intended to be ranked by market heat or individual-stock popularity.
• The article warns that popularity and turnover alone do not evaluate company quality.
• It recommends adding fundamental and technical criteria, but provides no tested results.
• The code example may not faithfully implement the described ranking logic.

Tags

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