Chinese Stock Screening by Turnover, Float Market Cap, and Afternoon Buying

Summary

This note describes a mainland China stock screen that selects main-board shares with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and positive, increasing afternoon net active buying. It presents the conditions as a way to combine liquidity and company-size filters with an intraday money-flow signal. Formula and Python examples illustrate how the conditions could be applied to market data.

The note argues that the size and turnover ranges may yield stocks with more moderate liquidity and that afternoon large-order inflows could help identify buying interest. It also flags the screen’s reliance on a single flow feature, which can change quickly, and its omission of company fundamentals and broader market drivers. The article provides no backtest, performance figures, or evidence that the filters predict returns; the thresholds and flow measure therefore need independent testing and validation.

Key ideas

• The screen requires main-board stocks to meet specified turnover and circulating market-value ranges.
• It adds positive and rising afternoon active-buying flow as a selection condition.
• The article cautions that money-flow signals can shift and create sensitivity to market conditions.
• It suggests combining flow data with fundamentals, technical measures, and liquidity checks.

Tags

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