Screening Chinese Stocks by Turnover, Recent龙虎榜 Activity, and Size
Summary
This Chinese stock screening proposal selects shares with turnover between 3% and 12%, an appearance on the previous day’s 龙虎榜 (a public list highlighting unusual trading activity), and a size measure above 200 million. It also specifies that a stock should have been listed for more than a year. The article describes the screen as a way to combine trading activity, attention, and company size, and provides references for expressing the conditions in screening formulas and a Python data filter.
The post does not report backtest results or define the size measure’s units and data source clearly. It cautions that the screen omits fundamentals and industry characteristics, and that a size threshold may exclude smaller growth companies. It suggests combining the activity filters with valuation, profitability, and sector-specific measures before evaluating candidates. The rules describe a candidate selection method, not a complete entry, exit, or risk-management strategy.
Key ideas
- The screen requires turnover from 3% to 12% and a previous-day 龙虎榜 appearance.
- It adds a size threshold above 200 million and a listing-age condition of more than one year.
- The article gives formula and Python examples for applying the selection rules.
- It warns that the screen omits fundamental and industry information and may exclude smaller growth stocks.
- No performance evidence or complete trading and risk-management rules are provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.