Screening Shanghai-Listed Stocks by Turnover and Trading Pressure

Summary

This article describes a Chinese equity screen that combines a 3%–12% turnover range, stock codes beginning with 60, and a ratio of external to internal trading volume above 1.3. It frames turnover as a liquidity consideration and the volume ratio as a possible sign of buying interest. The article recommends considering technical and fundamental factors, growth, market sentiment, and risk controls alongside these conditions.

The material includes sample code, but it does not report a backtest, selected-stock results, or evidence that the filters predict returns. Its code does not appear to calculate the described external-to-internal volume ratio: it compares daily volume with a prior observation instead, and the shown data call is for index data. The listed selection formula also omits the turnover range. These discrepancies make the implementation ambiguous, so the criteria would need to be clarified and tested before use.

Key ideas

• The proposed screen combines a stated turnover band, 60-prefixed stock codes, and a volume ratio above 1.3.
• The article interprets the volume ratio as a possible indicator of buying interest.
• It recommends adding technical, fundamental, growth, sentiment, and risk checks.
• No performance evidence is provided, and the example code does not implement the stated ratio consistently.

Tags

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