Screening Chinese Stocks by Turnover, Float Size, and Limit-Up Status

Summary

This note describes a Chinese equity screen requiring turnover between 3% and 12%, circulating share count no greater than 5.5 billion, and no limit-up close on the prior day. Its accompanying Python example uses turnover, circulating market capitalization, and a close-price comparison with the previous close to approximate these filters. The prose frames the screen as a way to select liquid stocks with short-term price activity.

The document provides no backtest, performance figures, or evidence that the thresholds improve returns. It flags the lack of fundamental analysis and the risk of relying on short-term price behavior, and suggests adding measures such as valuation and profitability. The final selection rule mentions basic-fundamental conditions without defining them. The prose and code also differ on whether the size limit refers to share count or market capitalization, so that criterion needs clarification before implementation.

Key ideas

• The screen sets turnover between 3% and 12%.
• It excludes stocks that closed at the daily limit on the previous day.
• The stated size constraint is described inconsistently as circulating shares and circulating market capitalization.
• The article suggests adding fundamental measures but does not specify thresholds or test results.

Tags

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