Chinese Stock Screening with Turnover, Momentum, and Price Filters

Summary

The document describes a Chinese equity screening rule using turnover between 3% and 12%, a positive 10-day gain below 35%, and an initially specified share price of 18.5 yuan. It warns that a single exact price condition can exclude otherwise qualifying stocks, then revises the rule to a price range of 16 to 21 yuan. The accompanying Python example also excludes certain board listings, special-treatment stocks, and companies listed for less than a year, and applies additional price action and market capitalization checks.

The post gives no backtest results or evidence that the filters produce an advantage. Its example uses daily data over specified dates, so the implementation may not represent a general or current screening process. The article itself notes that market prices fluctuate and suggests considering valuation and company size alongside price. Several implementation details and the stated screening logic are not fully aligned, so the code should be treated as an illustration rather than a validated strategy.

Key ideas

• The proposed screen combines turnover, recent price performance, and share price conditions.
• The post widens the exact share price condition into a range of 16 to 21 yuan.
• The sample code adds listing age, market capitalization, price action, and listing-board filters.
• The document supplies no performance evidence, and its code does not fully match the stated screening rule.

Tags

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