Screening Equities by Turnover and Float Market Capitalization

Summary

This Chinese market strategy note describes a stock screen using turnover between 3% and 12%, float market capitalization between 5 billion and 10 billion yuan, and exclusion of the STAR Market. It gives corresponding selection logic and sample implementations for a charting formula and Python, using the latest available row for each stock. The screen is presented as a way to combine market activity and company size.

The note cautions that these conditions do not assess company fundamentals or business quality, and that excluding one market board cannot remove all risks. It suggests supplementing the screen with financial measures such as profitability and net income and adapting criteria to market conditions. No backtest, performance record, or evidence of predictive value is provided, so the stated thresholds should be treated as screening parameters rather than a validated investment strategy.

Key ideas

• The screen selects stocks with turnover from 3% to 12% and float capitalization from 5 billion to 10 billion yuan.
• It excludes STAR Market listings through a market-type condition.
• The examples evaluate the latest observation for each stock.
• The author notes that size and turnover filters omit fundamental measures of company quality.
• The document provides no backtest or performance evidence for the screening rules.

Tags

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