Screening Stocks by Turnover, Recent Trading-榜榜 Activity, and Prior-Day Volume

Summary

This note outlines an equity screen requiring turnover between 3% and 12%, a prior-day appearance on the Chinese market’s public trading activity list, and prior-day turnover above 8%. The combined filters are presented as a way to locate stocks with elevated activity and market attention. The document includes example indicator conditions and a short data-frame filtering illustration, but does not explain the activity-list field’s construction or provide a complete trading system.

The author warns that the screen omits company fundamentals and broader market conditions, and that signals based on past data may not adapt to changing markets. Suggested refinements include reviewing financial measures such as revenue and net income, company strategy, policy conditions, technical indicators, and hot industry themes. No backtest, return figures, or evidence comparing this screen with alternatives is given. The thresholds therefore describe a candidate selection rule, not a demonstrated source of excess returns.

Key ideas

• The screen requires turnover from 3% to 12%, prior-day activity-list inclusion, and prior-day turnover above 8%.
• The activity-list and turnover conditions are intended to identify stocks attracting attention and trading activity.
• The author notes that the rules omit fundamentals and wider market conditions.
• Example formulas are provided, but no backtest or performance evidence is reported.
• The note recommends combining the screen with company, industry, and market analysis.

Tags

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