Chinese Stock Screening with Turnover, Float, and Share Capital Filters

Summary

This Chinese equity screening proposal filters stocks using a turnover range, a limit on circulating shares, and a minimum total share count. Its stated criteria are turnover from 3% to 12%, circulating shares no greater than 5.5 billion, and total shares of at least 200 million. The article also provides formula and Python examples and suggests adding a return-on-equity screen as a further filter.

The article explains that turnover and size are intended to capture liquidity and company scale, but it does not present a backtest, performance data, or a rationale establishing that these thresholds predict returns. The descriptions and examples are not fully consistent: the final criteria refer to total share capital, while other wording refers to scale; the formula uses strict turnover below 12%, and the Python example uses strict bounds at both ends. These differences should be resolved before implementation. The author notes that fixed filters can miss promising firms or include risky ones, and suggests considering fundamentals and industry context.

Key ideas

• The proposed screen combines turnover, circulating shares, and a minimum total share count.
• The stated turnover band is 3% to 12%, with circulating shares capped at 5.5 billion and total shares set at a minimum of 200 million.
• The examples differ on whether the turnover endpoints are inclusive, so implementation details need checking.
• The article provides no backtest or evidence that these thresholds predict returns.
• It recommends adding fundamental and industry analysis to address the limits of fixed filters.

Tags

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