Screening 2021 Beijing-Listed Excluded A-Shares by Turnover

Summary

This stock screen selects Chinese A-shares listed in 2021, excludes Beijing-listed shares, and requires turnover to fall between 3% and 12%. The article presents the rule as a basic quantitative selection filter and includes references to implementing it in market-screening tools and Python. Its sample code illustrates gathering a stock list and applying listing-year and exchange filters, though the code shown does not clearly apply the stated turnover condition to the returned bar data.

The article offers no backtest, return analysis, or evidence that the screen improves performance. It acknowledges that static filters may miss changing market conditions and that an uneven industry mix can create exposure to sector shifts. It suggests adding valuation measures and using industry-specific criteria, but supplies no tests for those proposed changes. This is best read as a screen specification rather than a validated trading strategy.

Key ideas

• The screen selects shares listed in 2021, excludes Beijing listings, and applies a turnover range of 3% to 12%.
• The article gives examples of implementing exchange and listing-year filters with screening tools and market data.
• It provides no performance evidence, and the example code does not clearly implement the turnover rule in its final selection.
• The article identifies static criteria and sector concentration as potential weaknesses.
• It proposes valuation measures and industry-specific thresholds as possible additions, without testing them.

Tags

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