Screening Chinese Main Board Stocks by Turnover, Float Value, and Limit-Down Price

Summary

This document describes a Chinese main-board stock screen combining a turnover-rate band of 3% to 12%, a circulating market value between 5 billion and 10 billion yuan, and a prior-day 9:15 matching price at the limit-down level. It also presents formula and Python examples intended to express those filters, although the shown conditions do not consistently implement the stated limit-down test.

The author says the screen uses liquidity, company size, and an extreme price condition, then flags that it omits other technical and fundamental factors and does not define holding period or manage price fluctuations. Suggested extensions include valuation measures, considering more than one time or price point, and adjusting to risk tolerance and holding horizon. No backtest, performance figures, or evidence of predictive value is supplied, so this should be treated as a simple candidate-selection heuristic rather than a validated strategy.

Key ideas

• The proposed universe is main-board stocks with turnover between 3% and 12% and circulating value between 5 billion and 10 billion yuan.
• The central price condition is that the previous day's 9:15 matching price was at the limit-down level.
• The document provides formula and Python illustrations, but their stated conditions may not correctly encode that price test.
• The screen does not specify holding rules and may overlook fundamental, technical, and sector-specific risks.
• Possible refinements include valuation filters and adapting the selection to holding horizon and risk tolerance.

Tags

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