Screening Stocks by Turnover, Recent Leaderboard Appearance, and Market Cap

Summary

This Chinese A-share screening idea selects stocks with turnover between 3% and 12%, a previous-day appearance on the securities leaderboard, and circulating market capitalization above 100 billion yuan. The rationale is to focus on actively traded, widely held stocks that have attracted attention, while using a large-cap threshold to limit exposure to smaller, more volatile companies. It is presented as a short-term speculation screen rather than a complete entry-and-exit system.

The document offers formula and Python-style examples for expressing the filters, but provides no backtest, performance figures, or empirical support for the rationale. It warns that market-cap and liquidity filters can leave picks dependent on changing market attention and capital flows. It recommends adding technical measures such as volume and moving-average or MACD signals, and considering fundamentals, industry characteristics, and policy conditions. Those additions are suggestions, not tested improvements, and the screen still needs explicit risk controls and validation.

Key ideas

• The screen requires turnover from 3% through 12%, a leaderboard appearance the previous day, and circulating market capitalization above 100 billion yuan.
• The rationale is to seek liquid large-cap stocks that have recently attracted market attention.
• The document presents implementation examples but gives no performance evidence or backtest results.
• Market interest and capital flows can change quickly, so the screen calls for risk controls and broader analysis.

Tags

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