Chinese Stock Screening by Turnover, Float Size, and Investor Heat

Summary

This note describes a Chinese equity screen using daily turnover between 3% and 12%, a circulating share count no greater than 5.5 billion shares, and a descending ranking by individual stock heat. It frames the turnover and float limits as a way to focus on actively traded, relatively smaller-cap stocks, while heat determines their ranking. The article also gives sample screening expressions and a Python-style illustration of filtering and sorting a stock list.

The proposed screen is a selection rule rather than a complete trading strategy: it does not define entry timing, exits, position sizing, or a benchmark. The article warns that relying on market size and trading activity can overlook fundamentals and short-term price trends, and that ranking by heat may favor overhyped stocks. It suggests adding measures such as valuation or return on equity and grouping candidates by industry. No backtest, performance evidence, or detailed definition of the heat measure is provided.

Key ideas

• The screen keeps stocks with turnover from 3% to 12% and a circulating share count at or below 5.5 billion.
• Candidates are ranked from highest to lowest by an individual stock heat measure.
• The article cautions that trading activity and size filters do not capture fundamentals or short-term trends.
• A heat ranking may elevate overpriced or excessively popular stocks.
• Fundamental filters and industry-level sorting 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.