Mainland China Stock Screen Using Turnover, Daily Gains, and Price
Summary
The document outlines an A-share stock screen requiring turnover between 3% and 12%, a daily gain above 1%, membership in the main-board market, and a closing price equal to 18.5 yuan. It also supplies example expressions and Python-style selection logic for applying these conditions to market data. The accompanying rationale is that turnover and recent price movement identify active stocks, while the price condition selects shares at a specified nominal price.
The text acknowledges that the screen relies on a narrow set of market variables and omits company fundamentals and macroeconomic conditions. It cautions that a low nominal share price does not by itself indicate good value. The document offers no backtest, return data, or evidence that the selected conditions have predictive power. Its descriptions also differ in places on the exact meaning of the price criterion, so an implementation should verify whether the intended filter is equality to the stated price or a price ceiling.
Key ideas
- The screen combines a 3%–12% turnover range with a daily gain above 1%.
- It limits candidates to main-board stocks and specifies a closing price of 18.5 yuan.
- Example formulas and data-processing logic are provided for selection.
- The author notes that fundamentals and macroeconomic factors are omitted.
- A low nominal share price does not establish that a stock is undervalued.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.