Screening Chinese Main Board Stocks by Turnover, Listing Year, and Daily Gain

Summary

This Chinese equity screening rule selects main board stocks with turnover between 3% and 12%, a listing year of 2021, and a latest close more than 1% above the previous close. It combines a liquidity or activity filter with a recent price strength condition and an IPO-year constraint. The document includes reference logic for implementing the screen in market data tools and Python, including queries for listing information, price bars, and trading activity.

The accompanying discussion suggests that recently listed stocks showing strength may perform well when market sentiment is favorable, but it presents no backtest or performance evidence for that claim. It warns that the eligible universe may be limited, that technical criteria have risks, and that fundamentals are omitted. It proposes combining the screen with financial and fundamental measures. The provided implementation examples also include data-source and stock-universe filters, so their operational details may not exactly match the written rule; results would depend on data definitions and availability.

Key ideas

• The screen requires main board stocks to meet a 3% to 12% turnover range.
• It limits candidates to stocks listed in 2021 and with a daily gain above 1% versus the prior close.
• The document provides example implementations using market data tools and Python.
• The rule excludes fundamental analysis and is presented without backtest evidence.

Tags

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