Screening Chinese Stocks by Turnover, Recent Returns, and Relative Volume

Summary

This article presents a Chinese stock screen based on turnover, recent price change, and relative trading volume. Its stated rule looks for turnover between 3% and 12%, a positive ten-day gain below 35%, and a volume ratio above 1.5 but below 6. The article also shows indicator definitions and sample Python logic for filtering a stock list, including checks related to listing age, special-treatment status, and market capitalization.

The proposed rationale is to combine activity, moderate recent gains, and unusually high volume. The article notes that the screen lacks longer-term fundamental analysis and suggests adding financial statement measures or other technical indicators. It gives no backtest results or evidence that the chosen thresholds produce an advantage. Some implementation details in the sample code do not clearly match the stated ten-day rule, so the calculations and data fields should be checked before use.

Key ideas

• The screen combines turnover, a bounded recent gain, and relative volume.
• The stated volume ratio range is above 1.5 and below 6.
• The sample code adds filters for listing age, special-treatment status, and company size.
• The author identifies missing fundamental analysis as a limitation.
• No performance evidence is presented, and some code details need verification against the stated rule.

Tags

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