Screening Chinese Stocks by Turnover and Recent Large Daily Gains

Summary

This note outlines a stock-selection screen using turnover between 3% and 12%, excluding Beijing-listed A shares, and requiring at least one daily gain of 10% or more within the preceding 25 trading days. The author frames the recent large gain as a way to seek stocks that may continue an upward move, while the turnover band serves as an additional activity filter. A Python example sketches filters for turnover, location, and recent daily returns, but it includes an external list input and does not provide a tested implementation or performance results.

The stated risks are that stocks selected for recent strength may lose more in a falling market and that technical filters omit company fundamentals. The note suggests combining these conditions with fundamental and technical measures, or developing a trained model. It does not specify how to rank qualifying stocks, how often to rebalance, or how to account for trading costs and survivorship effects. The idea is therefore a screening hypothesis, not evidence of a profitable strategy.

Key ideas

• The screen limits turnover to the stated 3%–12% band and excludes Beijing A shares.
• It selects stocks with at least one daily return of 10% or more during the prior 25 trading days.
• The recent-gain condition is intended to capture possible continuation in strong stocks.
• The note cautions that momentum-style selection may perform poorly in a falling market and omits fundamentals.
• No backtest or implementation validation is reported.

Tags

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