Screening Chinese Stocks by Turnover and Prior-Day Dragon-Tiger List Status

Summary

This Chinese A-share screening rule selects stocks with turnover between 3% and 12% that appeared on the previous day’s Dragon-Tiger List, while excluding Beijing-listed shares. The document presents the conditions as a way to narrow candidates using trading activity and a recent market-attention signal. It also gives example expressions for implementing the filters in screening software and Python.

The article offers no backtest, performance figures, or evidence that these filters predict returns. It acknowledges that the rule omits market, industry, fundamental, and financial measures, and that excluding Beijing shares may leave out potential candidates. The suggested improvement is to combine the screen with broader company and market information, but no specific validation method or exit rule is supplied. The strategy is therefore a basic candidate filter rather than a complete trading system.

Key ideas

• The screen requires turnover from 3% through 12% and a Dragon-Tiger List appearance on the prior day.
• It excludes stocks categorized as Beijing A-shares.
• The examples show how to express the filters in screening syntax and Python.
• The document provides no performance evidence and notes that market and fundamental factors are omitted.

Tags

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