Equity Screening by Turnover, Circulating Shares, and Trading Value

Summary

This Chinese equity screen looks for stocks with turnover between 3% and 12%, circulating shares no greater than 5.5 billion, and previous-day trading value above 60 million. The article says selection is intended before 10 a.m. It frames the turnover, share-float, and trading-value filters as ways to find actively traded stocks while avoiding some highly volatile or illiquid names.

The article also proposes a broader version that adds a circulating-market-cap ceiling of 5.5 billion, positive recent earnings growth, and price-to-earnings and price-to-book ratios below industry averages. It identifies these fundamentals as possible complements to the original filters, while warning that the screen can miss company fundamentals, growth potential, price stability, and governance concerns. Formula references and brief data-field examples are included, but the article supplies no backtest, portfolio rules, or measured performance. The two formulations also differ in their size measure and in whether the earnings and valuation conditions are required, so implementation would need to specify which version is intended.

Key ideas

• The initial screen sets turnover between 3% and 12%, circulating shares at or below 5.5 billion, and prior-day trading value above 60 million.
• The article places selection before 10 a.m.
• A proposed expanded screen adds positive earnings growth and below-industry-average valuation ratios.
• The article gives formula and data-field references but no performance test.
• Fundamental quality, governance, and price stability may not be captured by the filters.

Tags

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