Chinese Stock Screening by Turnover, Recent Return, and Float Market Value

Summary

The article describes a Chinese equity screening rule using three filters: turnover rate between 3% and 12%, a positive 10-day gain below 35%, and free-float market value above 10 billion yuan. It presents the screen as a way to find relatively liquid, larger-cap stocks with recent gains, and includes a code example intended to retrieve and filter listed shares. The example also applies additional exclusions, including certain board listings, recently listed shares, and stocks identified as ST.

The article acknowledges that relying on a narrow set of indicators can leave the strategy exposed to changing market conditions. It suggests combining the screen with valuation or profitability measures, or using predictive models, but provides no evidence that these extensions improve results. There is no backtest, transaction-cost analysis, or portfolio construction rule. The supplied code should not be treated as a validated implementation: its data dates and filter mechanics require independent review before use.

Key ideas

• The screen selects stocks using turnover, 10-day price change, and free-float market value thresholds.
• The article proposes the filters as a way to target larger, more liquid shares with recent gains.
• The code example adds exclusions related to listing boards, listing age, and ST status.
• The article notes that a narrow screen may be sensitive to market conditions and suggests adding other measures.
• No backtest or evidence of trading performance is reported.

Tags

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