Chinese Stock Screening by Turnover and 10-Day Return

Summary

The document describes a Chinese equity screening rule that selects stocks with positive returns below 35% over ten days and prior-day turnover above 60 million yuan, then ranks candidates by capital strength. It presents this as a way to find actively traded stocks with moderate recent gains. The discussion also suggests adding market capitalization, valuation ratios, and technical indicators to refine the screen.

The page offers no backtest results or evidence that the filters predict future returns. It warns that price movements have many causes and that a screen based on turnover may still identify stocks that are difficult to trade profitably. The accompanying code example is incomplete, so the described ranking and screening logic is more informative than the implementation. Any use of the rule would require independent testing, including transaction costs and liquidity checks.

Key ideas

• The screen selects stocks with positive but limited ten-day returns.
• It requires prior-day turnover above 60 million yuan and ranks candidates by capital strength.
• The page suggests adding valuation, market capitalization, and technical indicators as further filters.
• The document provides no performance evidence and cautions that the screen cannot reliably predict future prices.

Tags

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