Screening Chinese Stocks by Turnover Ratio and 10-Day Return

Summary

This stock screen ranks candidates by turnover ratio, selecting the top 100, then filters for positive returns over ten days below 35%. The document also describes a listing-date condition, though its stated threshold of a listing date on or after the current date conflicts with the goal of finding stocks with recent gains and could exclude most established shares. The turnover ratio is defined as current-day volume divided by average volume over the prior five days.

The rationale is to find stocks with recent upward movement that have not already risen sharply, while prioritizing unusually high trading activity. The note cautions that turnover ratio captures only short-term activity and that the return and listing filters reveal little about fundamentals. It suggests adding valuation measures and technical indicators such as moving averages or Bollinger Bands. No backtest, performance evidence, or operational validation is provided, and the listing-date wording and formula need clarification before implementation.

Key ideas

• The screen ranks stocks by turnover ratio and keeps the top 100.
• It filters for a positive ten-day return below 35 percent.
• The document defines turnover ratio as current volume divided by the previous five-day average volume.
• Short-term price and volume filters do not assess company fundamentals or long-term trends.
• The listing-date condition is ambiguous and should be clarified before use.

Tags

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