Filtering Chinese Stocks by Turnover, Ten-Day Gain, and Price

Summary

This document describes a simple Chinese equity screening rule: select stocks with turnover between 3% and 12%, a ten-day gain above zero but below 35%, and a price below 12. Its accompanying example code also excludes selected exchange segments, stocks without data for a specified date, recently listed securities, and names flagged as ST. The intended screen combines trading activity, recent positive price movement, and a low nominal share price.

The post cautions that a low price may coincide with weaker quality or greater risk, and that turnover, price change, and share price alone omit fundamental measures such as valuation and profitability. It recommends incorporating additional indicators and possibly relaxing the price condition to address a small or biased sample. No test results or performance evidence are provided, and the sample code’s date-specific data checks and thresholds require review before use. The screen is a starting filter, not a complete investment process.

Key ideas

• The screen selects stocks by turnover, ten-day price change, and a low share price.
• The example code adds exclusions for certain exchange segments, recent listings, missing observations, and ST designations.
• The document warns that low share prices can be associated with higher risk or lower quality.
• It recommends adding valuation and profitability measures to broaden the selection criteria.
• No backtest performance or evidence of predictive value is presented.

Tags

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