Screening Shanghai-Listed Stocks by Turnover and Circulating Market Value

Summary

This selection rule looks for Chinese stocks whose codes begin with 60, whose turnover is between 3% and 12%, and whose circulating market value is between 5 billion and 10 billion yuan. The article frames the code prefix as a way to restrict the universe to Shanghai-listed shares and provides a Python example for obtaining stock listings and checking circulating market value.

The article does not report backtest results, performance comparisons, or evidence that the filters improve returns. It warns that narrowing the universe can leave too few candidates and that market and individual-stock risks remain. It recommends periodically reviewing the screen and considering additional technical and fundamental factors, but does not define those filters or give entry, exit, sizing, or portfolio rules. The example uses a single stated trading date, so it does not establish how the approach behaves across different market conditions.

Key ideas

• The screen limits eligible stocks to codes beginning with 60.

Tags

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