Chinese Stock Screen Using Turnover, Ten-Day Returns, and Float

Summary

The document presents a Chinese equity screening rule based on three conditions: turnover between 3% and 12%, a positive ten-day gain below 35%, and tradable share float no greater than 5.5 billion shares. Its accompanying discussion says the screen uses liquidity, recent price change, and float size, while warning that these filters alone do not cover company fundamentals or a broad set of technical factors.

A Python example is also included. It describes filtering a stock universe by listing status, excluding selected board codes and ST-designated names, checking listing age and float-related market value, then applying daily return, turnover, and closing-versus-opening price conditions. The code’s date windows and some filters do not cleanly match the stated ten-day screening rule, and the sample has no backtest results or evidence of returns. The document suggests adding financial and valuation measures, but does not test whether those additions improve selection.

Key ideas

• The stated screen selects stocks using turnover, ten-day return, and tradable float thresholds.
• The example also filters by listing status, selected board codes, ST designation, listing age, and daily price behavior.
• The Python example’s date windows and filters do not fully correspond to the stated ten-day rule.
• The author cautions that price and float filters omit fundamental analysis and provide no demonstrated performance.

Tags

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