Chinese Stock Screen Using Turnover, Float Size, Strength, and ROE

Summary

This stock-selection note combines market activity, float size, listing code, relative strength, and profitability filters. Its initial screen looks for Shanghai-listed shares with turnover between 3% and 12% and circulating share capital no greater than 5.5 billion shares. The later stated criteria refine the screen with a circulating market value above 10 billion yuan, relative strength of at least 50, and return on equity of at least 20%. Example formulas show how such conditions could be applied, with references to MACD confirmation and a price-based stop-loss in the Python illustration.

The article warns that a screen built mainly from trading activity and share characteristics can select volatile names and overlook company fundamentals. It also notes that selected stocks may be vulnerable to market shakeouts and that gains may be unstable. The proposed additions offer a starting point, not evidence of efficacy: the note reports no backtest, portfolio returns, or evaluation of the filters’ predictive value. Its examples also vary slightly in the exact cutoff wording for the turnover and ROE rules.

Key ideas

• The initial screen combines a 3%–12% turnover range, a circulating share cap, and Shanghai listing codes beginning with 60.
• The refined criteria add market value, relative strength, and return on equity thresholds.
• The examples suggest MACD confirmation and a stop based on a percentage below the closing price.
• The author cautions that technical and trading filters can overlook fundamentals and expose selections to unstable price moves.
• No backtest or performance evidence is presented.

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