Screening Chinese Main Board Stocks by Turnover and Daily Gain

Summary

This document describes a Chinese equity screen for main-board stocks outside the STAR Market. It selects shares with turnover between 3% and 12% and a daily gain above 1%, with the gain compared against stocks in the same board segment. The article presents the rule both as a screening formula and as a Python example using market data.

The author says the screen removes a prior-day auction-turnover condition and adds a board filter, framing the change as an effort to favor steadier stocks. No performance results or validation are reported. The rule relies on turnover and price movement alone, so it may miss fundamental differences and exclude smaller companies; the article suggests adding valuation measures or finer industry classifications. The Python example also describes a comparison to an index close, which is not equivalent to the stated same-board relative-gain rule, and its data handling should be checked before implementation.

Key ideas

• The screen requires turnover between 3% and 12% and a daily gain above 1%.\nIt excludes STAR Market listings and focuses on Chinese main-board equities.\nThe article provides formula and Python illustrations, but no backtest evidence.\nTurnover and price change alone omit fundamental information and may leave smaller stocks out.

Tags

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