Screening Shanghai-Listed Stocks by Turnover and Prior-Day Watchlist Appearance

Summary

This document proposes screening Chinese stocks with codes beginning in 60 for turnover between 3% and 12% that appeared on the prior day’s market watchlist, known as the Dragon and Tiger List. Turnover is treated as a liquidity filter, while the watchlist appearance is presented as a signal of market attention. The article suggests that valuation or other fundamental information could be added to assess candidates more fully.

A Python example sketches how to identify stocks on the list and retrieve market capitalization, volume ratio, and daily return data. It does not show a backtest or explain how these extra fields affect selection or trading. The example uses a fixed historical date, and its stock-code prefix check may not match the exchange-code format returned by the data source. The article also offers no entry, exit, or risk-management rules, so the criteria amount to an exploratory screen rather than a tested strategy.

Key ideas

• The proposed screen uses a 3%–12% turnover band and a stock-code prefix of 60.
• It selects stocks that appeared on the Dragon and Tiger List on the preceding day.
• The article treats turnover as a liquidity measure and list inclusion as an attention signal.
• It suggests adding valuation or other fundamental information to refine candidates.
• The example provides no backtest or trade-management rules.

Tags

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