China A-Share Screen Using Turnover, 龙虎榜 Activity, and Valuation

Summary

This document describes a Chinese stock screen for Shenzhen main-board listings. It combines daily turnover between 3% and 12%, an appearance on the previous day’s 龙虎榜 (a disclosure list of notable trading activity), positive price-to-earnings values up to 29.01, and price-to-book values up to 3.11. The final criteria also require the company to have been listed for more than a year. A formula and a Python example illustrate how the filters can be applied and how qualifying stocks can be sorted by a holdings-related field.

The rationale is to combine liquidity, trading attention, and valuation constraints. The article offers no backtest, performance data, or evidence that these conditions predict returns. It cautions that narrow valuation bands may exclude potentially attractive companies, and recommends considering other fundamental, technical, industry, and market-sentiment factors. The screen is therefore a candidate-generation method; it does not define entry timing, exits, or portfolio risk controls.

Key ideas

• The screen limits turnover to the 3%–12% range and requires prior-day 龙虎榜 activity.
• It targets Shenzhen main-board stocks with positive PE up to 29.01 and PB up to 3.11.
• The final rules require a listing history longer than one year.
• The article presents formula and Python examples but provides no performance evaluation.
• The author notes that narrow valuation filters can exclude candidates and need broader assessment.

Tags

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