Screening Shanghai-Listed Stocks by Turnover and Prior-Day Trading-List Appearance

Summary

The document describes a simple Chinese equity screening rule: select stocks whose turnover ratio is between 3% and 12%, that appeared on the prior day’s Long Tiger List, and whose codes begin with 60. It gives examples of expressing these filters in a market formula and in a data-frame workflow. The example code also applies an IPO-date cutoff, though the written final rule does not include that condition.

The accompanying discussion warns that turnover and a recent trading-list appearance are short-term signals and omit company fundamentals and industry context. It recommends combining the filters with market, sector, company, and financial measures. No backtest, return evidence, or selection rationale is supplied, and the document itself notes that an older rule may no longer be relevant. The screen is therefore a starting filter rather than a fully specified or validated strategy.

Key ideas

• The screen selects stocks with turnover from 3% through 12%, a prior-day Long Tiger List appearance, and codes beginning with 60.
• The document provides formula and data-processing examples for implementing the filters.
• The example code includes an IPO-date cutoff that is absent from the stated final selection rule.
• The author notes that the screen omits fundamentals and industry information and may become outdated.
• No backtest or performance evidence is provided.

Tags

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