Chinese Stock Screening with Turnover, Recent Gains, and Positive Daily Return

Summary

The document describes a Chinese equity screen requiring turnover between 3% and 12%, a positive gain over ten days below 35%, and a positive return on the current day. It presents the conditions as a way to find actively traded stocks with recent upward movement. It also includes example indicator definitions and a Python sketch that adds further filters, including excluding certain listings and special-treatment stocks, requiring more than a year of listing history, and applying a market-cap threshold.

The author cautions that relying on short-term price behavior can overlook company fundamentals and may not produce durable returns. The document recommends combining the screen with longer-term company data, technical measures, and macroeconomic factors. It supplies no backtest results or performance evidence, and the code example's data fields and date handling would need review before practical use. The strategy is a screening rule, not a complete portfolio or execution plan.

Key ideas

• The screen selects stocks with turnover from 3% to 12%, positive ten-day gains below 35%, and a positive daily return.
• The example code adds listing, special-treatment, listing-age, and market-cap filters.
• The document warns that short-term price conditions alone may miss fundamental risks.
• No backtest or realized performance evidence is provided.

Tags

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