Screening 2021-Listed Shanghai Stocks by Turnover

Summary

This note describes a Chinese equity screen for stocks with codes beginning with 60, listed in 2021, and showing turnover between 3% and 12%. It frames the turnover range as a way to seek tradable liquidity while limiting exposure to highly volatile names, and uses listing year and exchange code as additional filters.

The document gives indicator-formula and Python examples, but they are not fully consistent: the Python stock-list filter checks codes beginning with 0 or 3, despite the stated 60 prefix, and its turnover data field is not clearly demonstrated. No backtest, return data, or comparison supports the suggested benefits. The note itself flags that the screen omits company fundamentals and broader market direction, and that restricting the universe to one code group may exclude other candidates. It suggests adding fundamental, market, and technical information and widening the turnover range where appropriate.

Key ideas

• The screen selects stocks listed in 2021 whose codes begin with 60.
• The stated turnover band is 3% to 12%.
• The document provides formula and Python examples, but the Python code conflicts with the stated code-prefix rule.
• No performance evidence is supplied, and the screen omits fundamentals and market conditions.

Tags

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