Chinese Stock Screening by Turnover and Recent Price Changes

Summary

This document presents a simple Chinese equity screen using a turnover range of 3% to 12%, a positive but bounded ten-day gain, and a daily return between -5% and 2.6%. Its stated aim is to find actively traded shares while excluding stocks with especially large recent moves. It includes a technical screening expression and Python example, although the examples do not align perfectly: the Python uses a ten-day average daily return and a cumulative return calculation, while the description frames the rule differently.

The document cautions that turnover and price movement alone do not capture a company’s condition, industry trends, or policy changes. Fixed return thresholds may also fail to adapt to shifting market regimes. It recommends broader inputs and adaptive thresholds, but provides no backtest or performance evidence, so the screen is an initial filter rather than a validated strategy. The implementation should be clarified before use, including the exact meaning and measurement window of each return condition.

Key ideas

• The screen combines turnover between 3% and 12% with bounded recent price changes.
• Its proposed purpose is to filter for trading activity while avoiding extreme moves.
• The code examples do not fully match the stated return conditions.
• The document notes that fixed thresholds and price-only inputs can miss important market and company information.

Tags

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