A-Share Momentum Screening with Turnover, Size, and Profitability Filters

Summary

This document describes an A-share stock screen combining turnover, market capitalization, profitability, and recent price performance. It selects companies with turnover between 3% and 12%, market capitalization below the stated ceiling, positive net income, and a positive but bounded return over the prior ten days. The article also sketches an implementation using financial and daily market data, though the sample code’s date handling and filters do not clearly reproduce every stated condition.

The rationale is to find smaller profitable companies with active trading and recent upward movement. The article cautions that relying on short-term price behavior can select stocks with weak future prospects because the screen gives limited attention to fundamentals. It suggests adding technical, market, and fundamental measures, but provides no tested revised rules or performance evidence. The screen should therefore be treated as a proposed selection recipe rather than a validated strategy.

Key ideas

• The screen combines turnover, market capitalization, positive earnings, and ten-day price change.
• It targets smaller A-share companies with recent positive momentum.
• The document warns that short-term price filters may overlook company fundamentals.
• It offers no performance results to establish the screen’s effectiveness.

Tags

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