Chinese Stock Screen Using Turnover, Listing Year, and Recent Price Spikes

Summary

The document describes an equity selection rule for Chinese stocks. It filters for turnover between 3% and 12%, a listing year of 2021, and at least one daily gain of 10% or more among the most recent 25 trading days. The stated rationale is to combine recent price strength with trading activity and company age, with liquidity and market themes mentioned as additional considerations.

The document provides formula and Python examples, but no backtest, performance figures, or comparison against a benchmark. It warns that selecting on a single-day surge may overemphasize short-term moves and that changing market conditions can weaken the screen. It suggests adding other indicators, such as price-volume confirmation, and adapting the lookback window. The code examples are incomplete or inconsistent with the stated rule in places, so the written criteria should be checked before implementation. This is a screening idea rather than a complete trading system: it does not specify position sizing, exits, or portfolio construction.

Key ideas

• The screen requires turnover between 3% and 12% and a 2021 listing year.
• At least one of the latest 25 trading sessions must show a gain of 10% or more.
• The rule emphasizes recent price strength and trading activity rather than company fundamentals.
• The document identifies short-term focus and changing market conditions as key limitations.
• Price-volume indicators and an adjustable lookback window are suggested as possible refinements.

Tags

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