Chinese Stock Screen Using Turnover and Previous-Day Dragon-Tiger List

Summary

This note describes a Chinese equity screen requiring turnover between 3% and 12%, appearance on the previous day’s Dragon-Tiger list, and a selection period in 2021. It gives example expressions for applying those filters and mentions excluding stocks listed after the end of 2019. The screen is based on trading activity and a market listing, without a valuation or company-quality signal.

The author cautions that these broad, short-term conditions may select weaker companies and says fundamental, industry, and technical analysis could add context. No backtest results, return figures, or evidence that the criteria predict future performance are provided. The examples also differ in how they express turnover units and timing, so an implementation would need to verify the data definitions and ensure the date condition reflects the intended historical screen. The document presents a screening idea rather than a tested trading strategy.

Key ideas

• The screen selects stocks with turnover from 3% to 12% that appeared on the previous day’s Dragon-Tiger list.
• The stated selection period is 2021, and an example also excludes stocks listed after 2019.
• The author characterizes the rules as broad and recommends considering company fundamentals and industry trends.
• The note provides no reported backtest or performance evidence.

Tags

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