Chinese Stock Screen Using Turnover, Prior-Day Leaderboard, and Returns

Summary

This Chinese equity selection rule filters stocks by trading activity, prior-day leaderboard appearance, and the latest daily price change. It seeks names with turnover between 3% and 12%, a positive leaderboard flag on the preceding day, and a daily return greater than −5% but below 2.6%. The post also expresses the conditions as a screening formula and a pandas filter, illustrating how to implement the rule with market data.

The author frames turnover as a measure of activity and the leaderboard condition as a possible clue to news or capital flows. No backtest results or evidence of predictive value are supplied. The screen uses technical and trading-related inputs only; it omits company fundamentals and industry trends, may return few stocks, and does not itself provide risk controls or position sizing. The stated thresholds define a candidate-selection rule, not a complete trading strategy.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and a prior-day leaderboard flag.
• It requires the latest daily return to be above −5% and below 2.6%.
• The post provides equivalent formula-based and pandas implementations of the filters.
• Leaderboard appearance is presented as a possible signal about news or capital flows, without supporting results.
• The screen omits fundamental analysis and does not specify risk controls or position sizing.

Tags

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