A Chinese Small-Cap Stock Screen With Turnover and Valuation Filters

Summary

The post presents a Chinese equity screening idea using turnover, a cap on circulating shares, exclusion of ST-designated stocks, a short-term limit-up approach, and selection before 10 a.m. It describes the turnover, circulating share count, and ST filters as ways to manage volatility, liquidity, and company risk, while the limit-up element aims to find short-term price moves. It then proposes a different, broader screen based on circulating market value, earnings growth, and valuation relative to industry averages.

The article gives field names for circulating market value, price-to-earnings, and price-to-book calculations, but it does not show a complete implementation of either screen or define the limit-up method. The initial criteria and later proposed criteria also differ: the latter omits the ST and timing rules and uses turnover only as an upper bound. No backtest or performance evidence is supplied. The author cautions that focusing on price gains can lead to excessive trading and suggests adding fundamental and technical signals.

Key ideas

• The initial screen combines a turnover range, a circulating-share cap, ST exclusion, a limit-up method, and a morning selection time.
• The later suggested screen instead emphasizes circulating market value, earnings growth, and valuation versus industry averages.
• The post provides field references for calculating market value, price-to-earnings, and price-to-book.
• The two versions of the screen do not share all the same filters.
• No backtest results are given, and the author notes the risk of excessive trading.

Tags

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