Screening Chinese Stocks with Turnover, Size, and Bollinger Bands

Summary

This stock screen selects equities with turnover between 3% and 12% and circulating market capitalization between 5 billion and 10 billion yuan. It then requires the closing price to be above both the upper and middle Bollinger Bands, calculated over 20 periods with a stated deviation setting of 2.2. The document provides equivalent screening logic in indicator and Python examples, framing the price condition as a way to identify stocks trading above the bands.

The author notes that the method relies on historical price behavior and does not include company fundamentals, so it may select firms whose business quality is weak and cannot establish future returns. Suggested refinements include adding financial or business measures and choosing Bollinger parameters carefully. No backtest results or evidence of profitability are presented, and the screen itself specifies neither an entry and exit plan nor portfolio and risk controls.

Key ideas

• The screen combines turnover and circulating market capitalization filters with a Bollinger Band price condition.
• It requires the close to exceed both the upper and middle bands.
• The stated Bollinger calculation uses a 20-period lookback and a 2.2 deviation setting.
• The document cautions that the screen omits fundamentals and depends on historical prices.
• It provides no backtest evidence or complete portfolio management rules.

Tags

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