Chinese Stock Screen Using Added Holdings, Trading Value, and Listing Year

Summary

This proposed Chinese stock screen selects companies with an added-holdings ratio above 5%, previous-day trading value above 60 million yuan, and a listing year of 2021. The text interprets the holdings measure as a signal of recent capital inflow and the trading-value threshold as evidence of market attention; the listing-year filter excludes companies listed in other years. It then proposes expanding the screen with positive profitability, a price-to-earnings ratio below 20, bullishly aligned moving averages, and a MACD crossover.

The document supplies illustrative calculations and filtering code, but its terminology and implementation are not fully consistent: it describes previous-day turnover while the example uses the current data field, and the added-holdings calculation uses circulating market value as its denominator. It provides no backtest or evidence that these filters predict returns. It also cautions that the approach is short-term, may miss strong stocks, and can be vulnerable to excessive expectations and price swings. Treat both the base screen and suggested refinements as unvalidated ideas.

Key ideas

• The initial screen uses an added-holdings ratio above 5%, prior-day trading value above 60 million yuan, and a 2021 listing year.
• Suggested refinements add profitability, valuation, moving-average alignment, and MACD conditions.
• The example code does not fully match the stated timing of the trading-value condition.
• No performance evidence is presented, and the document notes short-term and volatility risks.

Tags

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