Mainland China Stocks Screened by Turnover, Float Value, and Institutional Activity

Summary

This selection rule screens main board stocks for turnover between 3% and 12%, circulating market capitalization between 5 billion and 10 billion yuan, and a positive institutional activity indicator. The document frames the combination as a way to consider trading activity, liquidity, company size, and institutional participation. It includes formula and Python examples that apply the thresholds to the latest available observations.

No historical results, backtest, or evidence of predictive performance are reported. The discussion cautions that relying on a single measure of institutional activity can introduce bias or miss relevant information, and that selection quality depends on how the criteria are implemented. It proposes combining institutional activity with relative strength, momentum, and fundamental factors for further research. The method is therefore a screening recipe rather than a demonstrated investment strategy; its stated conditions alone do not establish that selected stocks will outperform.

Key ideas

• The screen uses turnover between 3% and 12% and circulating market value between 5 billion and 10 billion yuan.
• A positive institutional activity indicator is the third stated selection condition.
• The examples apply the conditions to the latest observation for each stock.
• The document reports no backtest or evidence of subsequent investment performance.
• It suggests combining institutional activity with momentum, relative strength, and fundamental measures.

Tags

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