Chinese Stock Screen Using Turnover, Recent Gains, and Company Type

Summary

The document outlines a Chinese equities screen combining turnover, recent price performance, and company classification. It selects stocks with turnover between 3% and 12% and a positive ten-day gain below 35%, while also applying a company-type condition. Its code example further describes filtering out certain board listings, ST stocks, and recent listings, then retaining companies classified as privately owned. The example uses daily market and company data.

The author argues that company type may help screen for business or guarantee-related risks, but warns that classification is subjective and can exclude sound companies or retain unstable ones. The suggested improvement is to judge company type alongside industry-specific risks and financial measures such as debt and revenue, as well as management quality. The document supplies no backtest or return evidence, and its code’s date checks and single-day conditions may not exactly match the stated ten-day screening logic. The screen should therefore be treated as a proposed filter requiring validation and broader risk controls.

Key ideas

• The screen combines turnover between 3% and 12% with a positive ten-day gain below 35%.
• Company type is an additional selection condition, with the code example focusing on privately owned firms.
• The code example also filters out certain listings, ST stocks, and companies listed for less than a year.
• Company classification can be subjective and may exclude good firms or select unstable ones.
• Industry risks, financial measures, and management quality should inform company assessment.
• The document provides no backtest evidence, and parts of the code do not clearly implement the stated ten-day return condition.

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