Chinese Stock Screening with Turnover, Float, and Volume Ratio Filters

Summary

This document describes a Chinese stock screening rule built around trading activity and share supply. Its initial description specifies turnover between 3% and 12%, a circulating share count no greater than 5.5 billion, and a volume ratio above 1.5 but below 6. The final rule also adds circulating market capitalization above 10 billion yuan and retains an upper turnover limit of 12%. It includes example filters and suggests adding profit growth and net capital inflows, as well as setting a stop loss at 10% below the selected stocks’ closing prices.

The article offers no backtest, performance results, or evidence that these thresholds predict returns. Its title and initial rule differ from the final criteria, so the intended turnover lower bound is unclear. The document also cautions that broad market and sector moves can affect results, and that acting hastily may encourage excessive trading. Fundamental checks and disciplined exits are suggested as possible safeguards.

Key ideas

• The screening rule uses turnover, circulating share count, and volume ratio to identify active Chinese stocks.
• The final version adds a minimum circulating market capitalization and sets an upper turnover bound.
• The examples propose adding profit growth and positive net capital inflows as further filters.
• The article suggests a stop loss but provides no tested performance evidence.
• Its title, initial description, and final rule differ, leaving some thresholds ambiguous.

Tags

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