Screening Shanghai-Listed Stocks by Turnover and Listing Date

Summary

The document describes a rules-based screen for Chinese equities. It selects stocks with codes beginning with 60 that listed during 2021 and had average turnover rates between 3% and 12% over the specified year. The rationale offered is to focus on relatively liquid, larger-market stocks while limiting turnover, though the article does not demonstrate that these filters achieve those effects.

The sample Python workflow retrieves listed stocks, applies the code and listing-date conditions, calculates average turnover, and then ranks qualifying names by the count of large daily price gains during a selected month. This added ranking step is not part of the stated final screen and is not supported with reported results. The article flags that the rules omit fundamental information and suggests adding measures such as earnings or free cash flow, with technical indicators as possible supplementary inputs. It gives no backtest, evidence of returns, or detailed portfolio and risk rules, so it should be read as a screening example rather than a validated strategy.

Key ideas

• Filter for stocks with codes beginning with 60 and listing dates in 2021.
• Require average turnover within the stated 3%–12% range.
• The sample workflow adds a ranking based on large daily gains, although the final selection rule does not include it.
• The screen omits fundamentals and could be extended with earnings or cash-flow measures.
• No backtest or evidence of strategy performance is reported.

Tags

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