Chinese Stock Screen Using Turnover, Float Value, and Holder Concentration

Summary

This document proposes screening Chinese equities by daily turnover, circulating market value, and shareholder concentration. Its stated selection rule keeps stocks with turnover between 3% and 12%, circulating value between 5 billion and 10 billion yuan, and concentration below 20%. It presents the screen as a way to select stocks based on trading activity, company size, and ownership structure, and includes formula and Python examples intended as implementation references.

The document offers no backtest, portfolio construction method, or performance evidence. It acknowledges that low-concentration stocks may be volatile when institutions trade actively and that relying on a few filters overlooks other company and market factors. It suggests adding sector-specific thresholds and broader fundamental or trend information. The rationale for preferring low concentration is not established by evidence, and the code examples should be checked against the stated rule and the data provider’s definitions before use.

Key ideas

• The screen combines turnover, circulating market value, and shareholder concentration filters.
• Its stated thresholds are 3% to 12% turnover, 5 billion to 10 billion yuan in circulating value, and concentration below 20%.
• The document warns that low-concentration stocks may be volatile and that the filters omit other relevant factors.
• It suggests adapting thresholds by sector and incorporating fundamental or market trend measures.
• No backtest or performance evidence is provided, and the example implementations need verification.

Tags

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