Chinese Stock Screening with Turnover, Float Size, and the 10-Day Average

Summary

This note proposes screening Chinese equities by turnover, circulating share count, and the opening price relative to the 10-day moving average. The initial description uses a 3%–12% turnover range, a circulating share cap of 5.5 billion shares, and an opening price near the 10-day average. However, the stated final rule changes the turnover condition to a maximum of 12%, adds circulating market value above 10 billion yuan, and specifies that the open is above the 10-day average. The accompanying formulas and code reflect the latter interpretation.

The author presents the screen as a short-term combination of trading activity, float size, and a recent price trend, while noting that it omits company fundamentals and remains exposed to market and price risk. Suggested additions include profitability, valuation, volume changes, RSI, and stop-loss rules. The note provides implementation examples but no backtest or evidence that the filters improve returns. The inconsistency between the initial and final criteria means the intended specification should be clarified before reproducing the screen.

Key ideas

• The proposed filters include turnover, circulating share count, and the opening price relative to a 10-day moving average.
• The initial description and final rule differ on the turnover bounds and the meaning of the moving-average condition.
• The final formulas also add a circulating market-value threshold and require the open to be above the 10-day average.
• The author notes that the screen omits fundamentals and remains exposed to market and price risk.
• Suggested additions include profitability, valuation, volume, RSI, and stop-loss rules; no test results are supplied.

Tags

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