A Turnover and Size Screen for Positive Daily Returns

Summary

The document describes a Chinese-equity screening rule based on turnover, circulating share count, circulating market value, and a positive price change. Its final rule specifies turnover from 3% to 12%, circulating market value above 100, circulating shares no greater than 5.5 billion, and a positive return relative to the prior close. It also gives formula and dataframe examples, then suggests adding profitability growth and net fund inflows as extra filters.

The rationale is to combine trading activity and recent price strength with size constraints. No backtest, benchmark, holding period, transaction-cost estimate, or performance evidence is provided, so the screen should be treated as a filter proposal rather than a demonstrated strategy. The earlier description says turnover is 3% to 12% and circulating shares are capped, but omits the market-value condition that appears in the final rule; units and data definitions also need verification before use.

Key ideas

• The final screen selects stocks with turnover between 3% and 12% and positive return versus the prior close.
• It also requires circulating market value above 100 and circulating shares at or below 5.5 billion.
• The author proposes adding profit growth and net fund inflow filters.
• The document provides no backtest evidence, and its initial and final rule descriptions differ.

Tags

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