Screening Chinese Stocks by Turnover, Trading Lists, Size, and Profitability

Summary

This stock screen selects companies with turnover between 3% and 12%, a listing on the prior day’s Dragon and Tiger List, market capitalization below 100 billion, and a record of avoiding losses over a multi-year period. The article provides example conditions in a formula and a Python-style data filter. It frames turnover and recent trading-list inclusion as measures of activity, with size and profitability used as additional constraints.

The article does not report backtest results or evidence that these filters predict future returns. It warns that a single day’s trading activity can make the screen short-sighted and that the criteria omit other financial matters such as debt and business stability. The examples also operationalize the profitability condition differently: one uses a rolling sum of year-over-year profit growth, which may not be equivalent to confirming no losses in each of the prior three years. Data definitions and the intended profitability test should be checked before implementation.

Key ideas

• The screen combines a turnover range, prior-day Dragon and Tiger List appearance, a market-cap ceiling, and profitability criteria.
• The article supplies both formula-style and Python-style examples of the filter.
• It cautions that recent trading activity can create a short-term bias.
• It recommends considering broader company financials, including debt and operating stability.
• The sample rolling profit-growth calculation may not match a strict no-loss test for each year.

Tags

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