Screening China A-Shares by Turnover and Positive Daily Return

Summary

This post proposes screening Chinese A-shares for turnover between 3% and 12%, excluding Beijing-listed stocks, and requiring a positive return. The stated idea is to focus on trading activity and recent price strength. It suggests adding fundamental and technical measures, such as valuation ratios and moving-average or MACD indicators, before judging longer-term investment value.

The article also includes example formula and Python snippets. However, the code applies additional filters, including exchange and listing-code restrictions, exclusion of ST shares, a minimum float-market-value threshold, and a ranking by turnover; these do not fully match the headline screen. Its sample daily-return calculation uses one specified trading date, and no backtest or performance evidence is provided. The author warns that turnover and short-term returns alone omit company and industry fundamentals, and that results depend on the selected date and universe.

Key ideas

• The proposed screen combines a 3%–12% turnover range with positive returns and excludes Beijing A-shares.
• The examples add filters beyond the headline criteria, so their universe differs from the stated screen.
• The Python example calculates returns for a single specified date and ranks selected stocks by turnover.
• The post recommends combining flow-based screening with fundamental and technical analysis.
• No backtest or evidence of persistent performance is supplied.

Tags

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