Screening Main-Board Stocks by Turnover, Float Value, and Daily Gain

Summary

This note describes a daily stock screen for main-board shares, selecting names with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and a daily gain above 1%. It frames turnover and company size as liquidity and activity filters, then uses the day’s price change as a short-term selection signal. The document includes equivalent formula logic and a Python example that groups observations by stock and checks the latest values.

The screen does not provide backtest results or evidence that the filters predict future returns. Its own discussion cautions that daily performance and market capitalization overlook company fundamentals and longer-term price behavior, and may select stocks lifted by a broad market rise. It suggests adding valuation, financial quality, growth, and business analysis, but does not specify how to combine those measures or test them. The method is therefore a simple candidate-generation rule rather than a validated trading strategy.

Key ideas

• The screen limits eligible stocks to main-board listings with turnover between 3% and 12%.
• It requires circulating market value between 5 billion and 10 billion yuan.
• A stock must have risen by more than 1% on the screening day.
• The provided examples implement the same filters using recent market data.
• The note recommends adding fundamental and longer-term factors, but reports no performance tests.

Tags

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