Selecting Chinese A-Shares by Turnover and Previous-Day Top-List Activity

Summary

The proposed stock screen selects Chinese A-shares with turnover between 3% and 12%, excludes Beijing-listed shares, and requires appearance on the previous day’s exchange top-trading list. The document interprets top-list membership as a possible sign of recent market attention and capital flows, aiming to identify active stocks. It sketches how the criteria could be implemented with market data and then filtered or ranked using valuation fields.

The author cautions that stocks on these lists can move sharply and that the screen lacks fundamental criteria, so it may miss valuable companies or select risky names. Suggested refinements include combining the activity filter with market capitalization, valuation ratios, moving averages, industry grouping, and fundamental analysis. The post supplies example screening logic, but no backtest, return data, or evidence that the proposed filters predict future performance. Its code example uses a fixed historical trading date, so it illustrates the process rather than a ready-to-run current signal.

Key ideas

• The screen combines a 3% to 12% turnover band with prior-day top-list membership.
• It excludes Beijing-listed shares and uses recent trading activity as a proxy for market attention.
• The post identifies sharp price moves and the lack of fundamental filters as risks.
• It proposes adding valuation, size, trend, industry, or fundamental criteria for further screening.
• No performance test is provided, and the sample code uses a fixed historical date.

Tags

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