Mainland China Stock Screen Using Turnover, Float Value, and Daily Return

Summary

This document presents a daily stock-selection screen for main-board shares. It filters for turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and a one-day price change greater than -5% but below 2.6%. It gives equivalent formula and Python-style implementation references, along with cautions about data-field naming and market classification.

The text characterizes the screen as a way to select relatively liquid stocks within a specified size range and use recent price movement as a short-term filter. It offers no backtest, return series, benchmark comparison, or evidence that the criteria predict future performance. It notes that short-term returns can reflect market attention or news, and suggests combining the screen with technical or fundamental indicators; such additions are suggestions rather than evaluated improvements.

Key ideas

• The screen selects main-board stocks using turnover and circulating market value ranges.
• It also requires the latest daily return to fall between -5% and 2.6%.
• The document provides formula and Python implementation references and warns that data fields must match the source.
• It offers no backtest or evidence that the screen produces profitable selections.
• The author suggests adding technical or fundamental filters to reduce reliance on a single signal.

Tags

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