Chinese Stock Screen Using Price Range, Turnover, and Concentration

Summary

This document describes a Chinese A-share stock screen based on three conditions: daily price amplitude of at least 1%, turnover above 2% and no greater than 9%, and a concentration measure below 20%. The rationale is to combine a minimum level of price movement with a bounded level of trading activity, while filtering for lower concentration. It also gives example screening expressions and a Python outline for selecting stocks.

The accompanying discussion cautions that concentration alone cannot reveal a company’s prospects or long-term value, and that industry and macroeconomic forces remain relevant. It recommends supplementing the screen with industry and fundamental analysis, including valuation, growth, and dividend measures, as well as diversification and position adjustment. No backtest, portfolio construction method, or performance evidence is supplied. The Python example includes extra restrictions, such as a market and price filter, that are not part of the stated three-condition screen, and its data handling does not demonstrate how the concentration measure is reliably defined.

Key ideas

• The core screen combines amplitude of at least 1%, turnover above 2% and at most 9%, and concentration below 20%.
• The proposed rationale is to account for price movement, trading activity, and concentration in one stock-selection rule.
• The document warns that concentration does not establish a stock’s growth prospects or intrinsic value.
• It recommends combining the screen with fundamental and industry analysis, diversification, and risk controls.
• No backtest or measured investment results are presented.

Tags

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