Chinese A-Share Screening with Turnover, Momentum, and Float Market Cap

Summary

This document describes a Chinese stock screen built around three filters: turnover between 3% and 12%, a positive but bounded 10-day price gain, and circulating market capitalization between 5 billion and 10 billion yuan. It presents the screen as a way to focus on actively traded, mid-sized companies while excluding some very small firms. The post also sketches a basic stock-listing workflow and suggests adding valuation, profitability, and shareholder ownership criteria.

The document provides no backtest, performance data, or evidence that the thresholds improve returns. Its accompanying Python example does not implement the stated rules consistently: it checks average daily percentage change rather than a cumulative 10-day gain and does not calculate turnover. The article itself notes that market capitalization is an imperfect proxy for company size and that technical filters omit fundamentals and industry conditions. Treat the screen as a starting hypothesis requiring careful implementation and testing.

Key ideas

• The screen combines turnover, recent price appreciation, and circulating market capitalization thresholds.
• The stated market-cap band is intended to exclude some very small companies while retaining mid-sized firms.
• The suggested extensions include valuation, return on equity, shareholder ownership, and industry context.
• The provided example code does not fully match the described screening rules.
• No performance evidence is supplied, and the filters may overlook company fundamentals and market-specific risks.

Tags

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