Chinese Stock Screening by Turnover, Float Value, and Trading Volume

Summary

This document describes a screen for main-board Chinese stocks using three liquidity and size filters: turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and prior-day trading amount above 60 million yuan. It provides equivalent formula and Python-style examples for selecting securities that meet these conditions.

The rationale is to find mid-sized stocks with active trading and moderate turnover, which the article characterizes as potentially suitable for short- to medium-term investing. It cautions that market and sector moves can still cause short-term losses, and that relying on trading activity and technical characteristics may overlook company fundamentals. Suggested refinements include adding profitability, leverage, return on equity, and capital-efficiency measures. No backtest, return statistics, or evidence of predictive performance is reported, so the screen should be treated as a selection rule rather than a validated strategy.

Key ideas

• The screen targets main-board stocks with turnover from 3% to 12% and circulating value from 5 billion to 10 billion yuan.
• It also requires prior-day trading amount to exceed 60 million yuan.
• The article frames the filters as a way to locate actively traded, mid-sized stocks.
• It warns that the screen omits fundamental factors and provides no performance validation.

Tags

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