Chinese Stock Screening by Turnover, Recent Returns, and Institutional Activity

Summary

This Chinese equity screening proposal combines a turnover rate between 3% and 12%, a positive 10-day gain below 35%, and positive institutional activity. It frames the conditions as filters for trading activity, short-term price direction, and institutional positioning. The article also offers sample formula and Python implementations, but their conditions do not consistently match the stated screen: the formula checks yesterday’s relation to a 10-day moving average and a one-day price change, while the Python example applies its own data and date conditions. These differences make the operational definition uncertain.

The article warns that institutional activity alone cannot establish a stock’s value and suggests adding fundamental and price-volume analysis. It supplies no backtest, return data, or comparison showing that the filters improve selection. The thresholds are presented as a screening recipe rather than a validated strategy, and the article does not define how institutional activity is measured across data sources. Users would need to reconcile the signal definitions and test them with suitable historical data before relying on the screen.

Key ideas

• The stated screen combines a 3%–12% turnover range, a positive 10-day gain below 35%, and positive institutional activity.
• The article associates turnover with trading activity, recent gains with price direction, and institutional activity with investor positioning.
• Its sample formulas and code do not fully implement the same stated conditions, so the screen’s precise definition is unclear.
• The article recommends adding fundamental and price-volume analysis and cautions that institutional activity is not a reliable proxy for value.
• No backtest or performance evidence is provided.

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