Screening Chinese Stocks by Recent Returns, Turnover, and Net Buying

Summary

This stock screen combines three conditions: net buying today must exceed five percent, the previous day’s turnover must be above 60 million, and the ten-day price gain must be positive but below 35 percent. The document presents these as signs of buying interest, adequate trading activity, and recent upward movement without an extreme gain. Its sample logic filters A-share stocks using net buying versus net selling, turnover, and percentage change.

The article offers a qualitative rationale and cautions that each measure has limits. Net buying may be distorted, turnover can reflect changing market sentiment, and recent gains can become large during volatile periods. It suggests adding valuation measures such as price-to-earnings or price-to-book ratios and technical indicators such as moving averages or Bollinger bands. It supplies no backtest, performance figures, or validation of the proposed thresholds, so the screen should be treated as a candidate selection rule rather than evidence of predictive returns.

Key ideas

• The screen requires net buying above five percent, previous-day turnover above 60 million, and a positive ten-day gain below 35 percent.
• The stated rationale is to combine buying interest, trading activity, and recent price appreciation.
• The article warns that net buying, turnover, and price gains can each be affected by manipulation or market conditions.
• It suggests adding valuation and technical measures, but gives no tested evidence that these additions improve results.

Tags

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