Chinese Stock Screen Using Turnover, Ten-Day Gains, and Broker Rankings

Summary

This document describes a Chinese equity screen that selects stocks with turnover between 3% and 12%, a positive ten-day gain below 35%, and an appearance on the previous day’s trading leaderboard. It treats leaderboard activity as a short-term signal and suggests adding valuation, company, and macroeconomic measures to make screening more comprehensive.

The accompanying Python example uses Tushare data and applies additional filters, including exclusions for certain listing boards, ST stocks, newer listings, and stocks outside a specified market-cap range. However, its implementation does not clearly match the stated screen: it checks a daily percentage change rather than a ten-day return, and its volume-based checks are not equivalent to confirming a leaderboard appearance. No performance evidence or backtest results are provided. The post itself warns that a single day’s leaderboard activity may not predict future returns and that omitting broader fundamental information can make selections unreliable.

Key ideas

• The stated screen combines turnover, ten-day price appreciation, and a previous-day trading-leaderboard appearance.
• The post presents leaderboard activity as a short-term auxiliary signal rather than a complete investment rationale.
• The example code adds market-cap, listing-age, board, and ST-stock filters.
• The code’s conditions do not fully implement the stated ten-day-return and leaderboard criteria.
• The document offers no backtest results and cautions that short-term signals can be unreliable.

Tags

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