Screening Shanghai-Listed Stocks by Turnover and Control Ratio

Summary

This note describes a Chinese A-share screen for stocks whose codes begin with 60, whose turnover falls between 3% and 12%, and whose reported daily control ratio exceeds 21%. The accompanying rationale treats the control ratio as a liquidity-related indicator and uses the turnover band to avoid stocks at the extremes. It also suggests adding fundamental checks, tightening the turnover range, and considering market and macro conditions.

The article later states a narrower 3%–10% turnover range as its final selection rule, while its example formula and Python outline use 3%–12%. The sample code queries a historical trading date and ranks qualifying names by price change over a separate date window, but provides no performance evaluation. The screen therefore has inconsistent thresholds and does not establish that the control measure predicts returns; it also omits fundamental analysis and warns that its broad turnover range may include less liquid shares.

Key ideas

• The screen selects Shanghai-listed shares using a turnover band and a daily control-ratio threshold.
• The article gives inconsistent final turnover limits: 3%–10% in prose and 3%–12% in its formula and sample code.
• Its Python outline ranks selected stocks by price change over a historical window, without reporting backtest evidence.
• The author recommends adding fundamental factors and accounting for market conditions.
• The document cautions that turnover screening may still admit less liquid stocks.

Tags

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