Chinese Stock Screening by Price Range, Listing Age, and Turnover Ratio

Summary

This Chinese stock screen selects listed shares using three filters: daily price amplitude above 1, a listing history longer than one year, and a “control” measure above 21%. The document defines that measure as the day’s turnover rate relative to the day’s price movement, and describes the intended interpretation as concentrated ownership and comparatively muted price swings.

The article gives a Python example using Tushare data to identify eligible stocks and a formula reference for calculating the control measure. It suggests adding volume or other indicators to refine the screen. The code’s calculation and the prose definition are not fully aligned, and the document provides no performance evidence or validation. It also cautions that low trading activity and possible price manipulation may make high-control stocks risky.

Key ideas

• The screen combines daily amplitude, listing age, and a daily turnover-based control measure.
• The article associates a high control reading with concentrated ownership and lower price volatility.
• It provides a Tushare-based stock selection example and a formula reference.
• The author suggests adding volume and other measures to assess candidates.
• The screen has no reported backtest, and the code’s calculation differs from the prose definition.

Tags

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