Chinese Stock Screening with Turnover, Momentum, and Concentration Filters

Summary

This note describes a Chinese equity screen that looks for stocks with turnover between 3% and 12%, a positive 10-day gain below 35%, and a concentration measure below 20%. It presents the concentration filter as a way to limit exposure to stocks that may be prone to sharp moves or dominated by large holders, and suggests combining it with trading activity, price behavior, and company data.

The document includes example code and mentions additional screening criteria, but it provides no backtest, performance evidence, or precise validation of the proposed rules. Its discussion also cautions that concentration alone cannot establish a stock’s value or risk, and that the measure may be manipulated. The examples should be treated as rough references: their data fields and implementation may not match the stated 10-day return and concentration conditions exactly. Further data checks and risk controls would be needed before using the screen in research or trading.

Key ideas

• The screen combines a turnover band with a positive but capped 10-day gain.
• It adds a concentration threshold intended to filter some stocks with concentrated ownership.
• The note recommends considering price, trading, and financial measures alongside concentration.
• It provides example implementation material but no evidence of historical performance.
• The stated filters and example code may not align exactly and require validation.

Tags

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