A Chinese Small-Cap Stock Screen Using Range, Profitability, and Trend

Summary

The document starts with a screen for Chinese equities that combines daily price range, a market-cap ceiling of 10 billion yuan, positive earnings, and an opening auction gain below 6% at 9:25. It cautions that the auction move may be a brief and unreliable measure of the day’s conditions, and that volatile selections can expose investors to substantial risk.

Its proposed revision removes the auction-gain filter, requires positive net profit over the latest four quarters, and adds a price-above-moving-averages trend check. It also suggests considering valuation, earnings, money flows, and market activity. Formula and Python examples illustrate the screening concepts, but the document gives no backtest results or evidence that the revised screen outperforms. The examples depend on data and platform conventions, and the text’s original range threshold and formula are not fully consistent, so implementation details need careful validation.

Key ideas

• The initial screen combines price range, market capitalization, profitability, and an opening auction gain condition.
• The proposed revision removes the auction filter and adds recent profitability and moving-average trend checks.
• The document flags short-lived opening prices and volatile selections as risks.
• It offers formula and Python examples but no performance tests.
• Screen thresholds and data conventions require validation before implementation.

Tags

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