Screening Chinese Stocks by Turnover, Float, and Opening Move
Summary
The document presents a Chinese equities screening rule using turnover, circulating share count, circulating market value, and the early-session price move. Its stated final criteria require turnover no greater than 12%, circulating market value above 100 (units are not specified), circulating shares no greater than 5.5 billion, and an opening move below 6%. The earlier explanation gives a turnover range beginning at 3%, so the post contains an inconsistency about the lower bound. It also describes the opening move as the 9:25 gain while the formula compares 9:30 and 9:25 prices.
The author frames turnover and the opening move as liquidity and market-performance filters, and warns that the screen omits company fundamentals and industry conditions. Suggested additions include profitability, financial health, growth, and capital-flow measures. The document offers example formulas but reports no backtest results, benchmark, holding period, or evidence that the screen produces an advantage. The criteria should therefore be treated as a screening proposal, with units and time definitions checked before implementation.
Key ideas
- The proposed screen combines turnover, circulating shares, circulating market value, and an early-session price move.
- The final rule sets turnover at no more than 12%, while an earlier passage specifies a 3% minimum.
- The market-value threshold is stated without units, and the opening-move description differs from its formula.
- Fundamentals, industry context, and growth measures are suggested as additional filters.
- No backtest results or evidence of investment performance are presented.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.