Chinese Stock Momentum Ranking by Recent Return, Size, and Trading Strength

Summary

This Chinese equity selection method first requires a positive but capped return over the past ten days and a float market capitalization above 10 billion yuan. It then ranks eligible shares from strongest to weakest using trading-strength measures such as turnover and volume ratio. The document describes turnover as trading volume relative to float value and volume ratio as current volume relative to its five-day average, giving these measures as indicators of trading activity and capital interest.

The screen aims to balance recent positive price performance with a size threshold intended to support liquidity. The author cautions that trading-strength indicators can reflect market sentiment, that a large-cap cutoff excludes smaller growth stocks, and that a capped return filter omits stronger recent performers. Suggested additions include more flow measures and technical indicators. The provided code fragment is incomplete, and the document reports no backtest or performance evidence.

Key ideas

• The method screens for positive, limited ten-day returns and a minimum float market capitalization.
• Eligible stocks are ranked by trading-strength indicators such as turnover and volume ratio.
• The article interprets turnover and volume ratio as measures of trading activity.
• A large-cap threshold may improve liquidity while excluding smaller companies.
• The document provides no performance results, and its code example is incomplete.

Tags

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