Screening Chinese Stocks by Turnover, Reversal, and Dividend Payout

Summary

This note describes a Chinese equity screen combining daily turnover between 3% and 12%, a reversal or engulfing-style price condition, and a 2019 dividend criterion. It gives example formula and Python implementations, including a price-range calculation intended to identify reversal candidates. The stated goal is to find actively traded stocks with a comparatively high shareholder payout, then exclude stocks marked as special treatment securities.

The document provides no backtest, performance figures, or evidence that the screen predicts returns. Its examples also do not align cleanly: the prose calls for a dividend payout ratio above 25%, while the formula uses a 2019 diluted ROE field, and the Python example applies a dividend-process field. The note itself warns that the selection omits broader fundamental and technical analysis and may be unstable, suggesting additional financial measures such as growth, valuation, and leverage. These caveats make the screen a starting hypothesis rather than a validated strategy.

Key ideas

• The screen combines turnover between 3% and 12% with a reversal-style price condition.
• It adds a 2019 dividend-related filter, though the prose and code use different measures.
• The examples include a special-treatment stock exclusion and supplementary financial fields.
• The note offers no evidence of profitability and warns that narrow, single-factor selection can be unstable.

Tags

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