Mainland China Stock Screening by Turnover and Float Market Value

Summary

The document describes a stock screen for main-board shares using current turnover, circulating market value, and the previous day's actual turnover. The specified filters are turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and prior-day actual turnover between 3% and 28%. It provides equivalent-looking examples in a Tongdaxin formula and Python, along with an explanation that the filters aim to find shares with market activity and participation.

The text cautions that relying on turnover and participation measures alone can create bias or weaknesses, and suggests combining them with relative-strength or momentum indicators and fundamental factors. It gives no historical performance, benchmark comparison, rebalancing schedule, transaction-cost assumptions, or operational validation. The code's prior-volume ratio and the prose's prior-day turnover condition may not be equivalent, so the implementation should be checked against the intended data definitions before use.

Key ideas

• The screen filters main-board shares by turnover, circulating market value, and prior-day activity.
• The stated turnover range is 3% to 12%, with a market value range of 5 billion to 10 billion yuan.
• The prior-day actual turnover filter is stated as 3% to 28%.
• The document recommends combining activity filters with technical and fundamental measures.
• No performance evidence is supplied, and the code's volume ratio may not match the stated turnover condition.

Tags

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