Filtering Chinese Stocks by Turnover and Circulating Market Value

Summary

This screen selects listed stocks outside the Beijing A-share market with turnover between 3% and 12% and circulating market value between 5 billion and 10 billion yuan. The article frames the market-value range as a way to focus on stocks with a chosen size and liquidity profile. It provides a formula and sample data-filtering code, but gives no backtest, candidate counts, returns, or other evidence that the filters improve performance.

The approach uses market value and turnover alone, so it does not define an entry signal, holding period, or exit rule. The article notes that circulating market value is only a partial measure of company worth and that a size-focused screen can miss financial condition, industry trends, and other relevant factors. It recommends combining the range with additional fundamental or technical measures and refining the screen by industry and market environment. The sample code should be checked against the stated exclusion criterion and data fields before practical use.

Key ideas

• The proposed universe excludes Beijing A-shares and applies turnover bounds of 3% and 12%.
• Candidates must have circulating market value between 5 billion and 10 billion yuan.
• The article provides example filtering logic but no tested returns or complete trading rules.
• Market value alone does not represent company fundamentals, industry conditions, or investment potential.

Tags

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