Chinese Stock Screening by Turnover, Float Market Value, and Fund Strength
Summary
The proposed Chinese equity screen selects stocks with turnover between 3% and 12%, floating market value between 5 billion and 10 billion yuan, and a funds-strength rank within the top 100. The criteria are intended to combine trading activity, company size, and an indicator of capital flow, with the selected names ordered by fund strength.
The document includes formula and Python examples showing how to apply the conditions to recent data. It offers no backtest, return figures, or evidence that the screen predicts performance. It also acknowledges that the rules are simple and may admit low-quality companies or overlook market risk. Suggested additions include valuation and profitability measures, technical indicators, and other flow data such as volume and large-order inflows and outflows.
Key ideas
- The screen combines turnover, floating market value, and a fund-strength ranking.
- Eligible stocks are ordered by fund strength after applying the stated thresholds.
- The examples implement the screen with formula logic and grouped stock data.
- The author warns that the simple rules omit company quality and broader market risks.
- Valuation, profitability, technical, and additional flow measures are suggested as possible refinements.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.