Chinese Stock Screening by Turnover, Trading-List Appearance, and Prior Low

Summary

This stock screen combines a turnover range of 3% to 12%, an appearance on the previous day’s trading list, and a closing price above the previous day’s low. The document presents these conditions as a way to identify actively traded stocks while using the prior low as a simple price-context filter. It includes example formula and Python implementations of the screen.

The post offers no backtest, performance data, or evidence that the conditions predict returns. It cautions that trading-list data and changing market sentiment can produce false signals, and that activity measures alone do not assess company fundamentals. It suggests adding other indicators, considering industry and broader market conditions, and controlling position risk. The description also has a small ambiguity: its initial wording refers to the close being above the prior day’s low, while one analysis sentence can be read as referring to the prior close. The stated final rule uses the prior low.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects stocks reported on the trading list the previous day.
• The closing price must be above the previous day’s low.
• The post provides no performance test and notes that sentiment and activity data can mislead.
• Additional indicators, market context, and position risk may be considered.

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