Screening Chinese Main-Board Stocks by Turnover and Daily Gain

Summary

The document describes a daily stock screen for Chinese main-board shares. It selects non-ST stocks with turnover between 3% and 12%, a daily gain above 1%, and more than one year since listing. The stated rationale is to combine active trading and positive recent price movement while excluding special-treatment shares and very recent listings. It also includes an example technical formula using volume relative to the prior day and moving-average conditions, though those conditions are not identical to the headline screening rules.

The post gives no historical backtest, benchmark comparison, or evidence of profitability. It acknowledges that the screen omits company fundamentals and may be unreliable over a short observation period, and suggests combining more data and longer histories. The accompanying Python example expresses several of the criteria, but its listing-age check uses the current date and the code does not visibly enforce every stated universe condition. The rules should therefore be treated as a candidate filter requiring validation, not as a complete trading strategy.

Key ideas

• The proposed screen requires turnover between 3% and 12% and a daily gain above 1%.
• It limits candidates to non-ST main-board shares listed for more than one year.
• The accompanying indicator formula also uses volume and moving-average comparisons.
• The post warns that the screen excludes fundamental information and may be vulnerable to a short sample period.
• No backtest or performance evidence is provided, so the selection rules require independent evaluation.

Tags

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