Chinese Stock Screening by Turnover and Float Market Capitalization

Summary

This note describes a Chinese equity screen that combines daily turnover with circulating market capitalization. Its final rule selects stocks whose turnover is between 3% and 12%, whose circulating value is between 5 billion and 10 billion yuan, and whose turnover is also between 2% and 9%. The turnover conditions overlap, so the effective turnover range is 3% to 9%. The article provides formula and Python examples, with the Python version using average turnover and market value alongside the latest turnover reading.

The rationale is to favor actively traded stocks with adequate liquidity. The note cautions that the screen omits company fundamentals and financial condition, and that short-period data can expose selections to short-term fluctuations. It suggests combining activity and liquidity measures with fundamental criteria and tuning parameters to suit an investor's approach. No backtest results or evidence of predictive performance are presented, and the examples contain inconsistencies in the stated market-value units and thresholds, so the intended sizing should be checked before use.

Key ideas

• The stated screen combines turnover limits with a circulating market capitalization band.
• The overlapping turnover conditions make the effective range narrower than either condition alone.
• The rationale emphasizes trading activity and liquidity rather than company fundamentals.
• The note flags short-term volatility and missing fundamental analysis as limitations.
• The code examples contain inconsistencies that should be resolved before implementation.

Tags

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