Chinese Stock Screen Using Turnover, Float Size, and Bollinger Bands

Summary

This proposed Chinese equity screen combines a turnover range, a cap on circulating shares, and the closing price’s position within Bollinger Bands. The stated logic seeks stocks with turnover from 3% to 12%, circulating shares no greater than 5.5 billion, and a close above the middle band but below the upper band. The article suggests adding valuation and growth measures, such as price-to-earnings ratios and profit growth, to bring longer-term company characteristics into the selection process.

The document gives formula and Python examples, but these are inconsistent with its stated rules: the Python turnover conditions cannot both be true, the code uses a different band relationship, and the final prose shifts from circulating share count to circulating market capitalization. No backtest results or evidence of returns are reported. The author cautions that a short-term price and liquidity screen omits fundamentals and long-term growth, and may select overvalued stocks or encourage chasing recent moves.

Key ideas

• The proposed screen combines turnover, circulating share size, and a close between Bollinger middle and upper bands.
• The article recommends supplementing technical and liquidity conditions with valuation and growth data.
• Its example code conflicts with the described turnover threshold and Bollinger Band conditions.
• The final selection description also changes the circulating share constraint into a market capitalization constraint.
• No performance evidence is supplied, and the screen may omit important fundamental and long-term factors.

Tags

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