A-Share Stock Screen Using Turnover, Dragon-Tiger Listings, and Recent Returns

Summary

This document describes a short-term Chinese equity screen using three conditions: turnover within a specified band, appearance on the prior day’s Dragon-Tiger list, and a positive but capped return over the preceding ten days. It presents the screen as a way to combine recent price performance with trading activity. It also gives example implementations in a trading platform’s formula language and Python, including an IPO-date filter in the Python example.

The accompanying discussion notes that the screen omits company financials and industry context, and that a rule can become stale over time. It recommends combining market, sector, and company fundamentals when refining the selection process. No backtest, performance statistics, or evidence that the screen is profitable is provided, so the criteria should be treated as a candidate selection rule rather than a validated strategy. The source also does not specify portfolio construction, exit rules, or transaction-cost treatment.

Key ideas

• The screen combines a turnover range, a prior-day Dragon-Tiger list appearance, and a bounded ten-day return.
• The document supplies examples of expressing the conditions in a formula and a Python data filter.
• It identifies the lack of fundamental and industry inputs as a weakness of the screen.
• It gives no backtest evidence, portfolio rules, or transaction-cost analysis.

Tags

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