Mainland China Stock Screen Using Turnover, Daily Gains, and Control

Summary

This post describes a mainland Chinese stock screen requiring turnover between 3% and 12%, a daily gain above 1%, main-board listing, and a control ratio above 21%. It presents the control ratio as an added measure intended to identify stocks with substantial controlling participation alongside ordinary liquidity and price filters.

The author warns that the control measure may reflect short-term market conditions and investor expectations, and says the screen should account for other technical and fundamental factors. The post suggests broadening the assessment, but supplies no tested results or evidence that the filters predict returns. Its formula and sample Python implementation are reference material rather than a validated backtest; moreover, the formula’s listed conditions do not fully match the written screen, so implementation details should be checked before use.

Key ideas

• The screen combines a 3%–12% turnover range with a daily gain above 1%.
• It restricts candidates to main-board shares and a control ratio above 21%.
• The author flags dependence on short-term market conditions as a risk.
• The provided code examples are not accompanied by performance evidence and should be checked against the written criteria.

Tags

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