Filtering Chinese Stocks by Turnover and Circulating Market Value

Summary

The document describes a stock-selection screen based on current turnover, circulating market value, and the prior day’s turnover. It selects shares with turnover between 3% and 12%, circulating value between 5 billion and 10 billion yuan, and prior-day turnover above 8%. The post also gives an example of expressing these conditions in a technical screening formula and discusses a Python-style implementation.

The rationale is to focus on moderately sized, actively traded shares while requiring strong recent trading activity. The post cautions that a single day’s turnover does not capture its trend or broader market changes, and that a size range can exclude promising smaller companies. It suggests adding fundamental, technical, or policy information and other filters. No backtest results, return estimates, or risk-adjusted performance evidence are provided, and the sample implementation’s use of averages and data fields should be checked against the intended screening logic before adoption.

Key ideas

• The screen requires turnover between 3% and 12% and circulating market value between 5 billion and 10 billion yuan.
• It additionally requires prior-day turnover above 8%.
• The approach uses trading activity and company size as stock-selection filters.
• The document notes that a single turnover observation can miss changes in activity and market conditions.
• It provides no performance evidence and suggests combining the screen with other kinds of analysis.

Tags

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