A Chinese A-Share Screen Using Volatility, Size, Profitability, and Turnover

Summary

This post describes a simple Chinese A-share stock screen. It selects companies with daily high-low amplitude of at least 1%, market capitalization up to 10 billion yuan, positive net profit, and prior-day turnover between 3% and 28%. The rationale is to combine short-term movement and trading activity with small size and a basic profitability filter.

The post provides indicator logic and a Python example, but it reports no backtest, return, or risk statistics to establish that the screen works. Its own caveats are that short-term volatility and a few filters may miss longer-term trends or broader measures of company value. It suggests adding other technical signals and reviewing financial and industry information. The closing recommendation to identify undervalued growth stocks is not supported with a valuation test or performance evidence, so the criteria should be treated as a screening idea rather than a validated strategy.

Key ideas

• The screen requires daily price amplitude of at least 1%, positive net profit, and market capitalization no greater than 10 billion yuan.
• It restricts prior-day turnover to a range from 3% through 28% to target active but not extreme trading.
• The post argues that volatility, smaller size, profitability, and turnover may identify candidates for further review.
• No historical performance evidence is given, and the post cautions that the filters may overlook long-term trends and other aspects of value.

Tags

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