Chinese Stock Screen Using Turnover, Float Value, and 10-Day Returns

Summary

This document presents a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and a positive 10-day price return below 35%. It frames turnover as a measure of activity, float value as a size constraint, and recent return as a short-term momentum filter. Reference implementations are described for a charting formula and a Python routine.

The accompanying rationale suggests that these ranges may avoid some very large short-term moves while focusing on actively traded, mid-sized companies. However, the document provides no backtest, benchmark comparison, transaction cost analysis, or performance results, so the suggested stability and opportunity are not demonstrated. It also acknowledges that a price-and-turnover screen omits company financials, industry competition, policy exposure, and valuation. The rule is therefore a candidate universe filter, not a complete investment process; its thresholds, data definitions, and point-in-time behavior would need scrutiny before use.

Key ideas

• The screen combines turnover, circulating market value, and recent price performance.
• It requires turnover from 3% to 12%, float value from 5 billion to 10 billion yuan, and a positive 10-day return below 35%.
• The document gives both charting-formula and Python-style implementations of the conditions.
• The rule omits fundamental, industry, policy, and valuation information.
• No test results or evidence are supplied to show that the thresholds improve returns or reduce risk.

Tags

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