Screening Chinese Stocks by Turnover, Float Value, and Volume Ratio

Summary

This document describes a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and volume ratio between 1.5 and 6. The stated rationale is to find stocks with moderate size and elevated trading activity. It also provides formula and Python examples for applying these filters, using average values in the Python example.

The note cautions that volume relative to its average alone does not show whether trading activity fits a stock’s market conditions. It suggests adding fundamental, technical, policy, price-change, size, or profitability measures, but supplies no test results, benchmark, holding period, or risk controls. The screening criteria are therefore a preliminary stock selection method rather than a complete trading strategy; the document does not establish that the filters predict returns.

Key ideas

• The screen requires turnover between 3% and 12%.
• It limits circulating market value to 5 billion through 10 billion yuan.
• It selects stocks with a volume ratio between 1.5 and 6.
• The note says volume filters may select stocks whose trading activity does not fit their market conditions.
• It recommends considering additional market, technical, policy, and company measures.

Tags

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