Chinese Stock Screen Using Turnover, Listing Year, and Control Score

Summary

This note describes a Chinese equity screen that combines a turnover-rate band of 3% to 12%, a 2021 listing year, and a “today control” reading above 21. It interprets the control measure as a proxy for buying pressure and says the turnover band is meant to balance price instability against weak liquidity. The post also gives sample formula and Python snippets, though the code’s filters and calculations do not consistently implement the stated conditions.

No backtest, performance figures, or empirical evidence are presented. The stated rationale is qualitative, and the post acknowledges that a high control reading does not ensure a price rise and that changing market conditions can weaken the screen. It suggests adding relative-strength or other trend indicators and adjusting the control threshold using recent history. These are proposals rather than tested improvements, so the screen should be understood as a rule description, not a validated strategy.

Key ideas

• The screen selects stocks with turnover between 3% and 12%, a 2021 listing year, and a control reading above 21.
• The author treats the control reading as a proxy for buying pressure, but provides no evidence that it predicts returns.
• The turnover range is intended to avoid both excessive volatility and insufficient liquidity.
• The accompanying code does not consistently match the described screen.
• The post identifies market changes and false signals as risks and proposes adding trend measures.

Tags

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