Chinese Stock Screen by Turnover, Float Value, and Stock Code

Summary

This Chinese stock-selection rule filters for turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and stock codes beginning with 60. It provides a formula and a Python example that groups price data by code and uses average turnover and circulating value to identify candidates. The written rule and examples are not perfectly aligned: the formula uses strict boundary comparisons, while the Python example includes the boundaries.

The article presents turnover as a measure of market activity and float value as a size constraint, while treating the code prefix as an additional universe filter. It offers no evidence that the prefix predicts industry exposure or investment performance, and no backtest or return data are included. The source cautions that market-based filters may overlook company fundamentals and industry prospects. It suggests adding business and financial analysis before making decisions, so the screen should be read as a candidate-generation rule rather than a complete strategy.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and float value between 5 billion and 10 billion yuan.
• It further limits the universe to stock codes beginning with 60.
• The formula and Python example differ in whether boundary values are included.
• No performance evidence is given for the code prefix or the combined selection rule.
• The article recommends considering company and industry fundamentals alongside the market filters.

Tags

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