Stock Screening by Turnover, Float Capitalization, and Positive Return

Summary

This document presents a simple Chinese equity screening rule: select stocks with turnover between 3% and 12%, circulating market capitalization between 5 billion and 10 billion yuan, and a positive return. It gives both a formula-style expression and a Python example. The example groups observations by stock, checks the latest return, and uses average turnover and circulating capitalization to determine eligibility.

The accompanying discussion describes the screen as a way to focus on moderately active, mid-sized stocks, while warning that a positive past return alone does not capture return trends or the broader market direction. It suggests adding fundamental, technical, policy, valuation, or industry criteria, but does not test those additions. No backtest results, holding rules, rebalance schedule, or evidence of profitability are provided, so the rule is best understood as a basic filter rather than a complete strategy. The formula and Python example also differ slightly in whether range boundaries are inclusive, which should be resolved before implementation.

Key ideas

• The proposed screen requires turnover between 3% and 12%, circulating capitalization between 5 billion and 10 billion yuan, and a positive return.
• The Python example applies the return condition to the latest observation and averages turnover and capitalization across the available data.
• The text warns that positive return alone ignores trend changes and overall market conditions.
• No backtest evidence or complete portfolio and rebalance rules are provided.

Tags

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