A-Share Screen by Turnover, Small Capitalization, Profitability, and Range

Summary

This A-share screening rule combines daily turnover between 3% and 12%, market capitalization below 10 billion yuan, a profitability condition based on return on equity, and price amplitude above 1. It is intended to focus on smaller companies that are profitable and have a specified level of trading activity and price movement. The post includes formula and Python examples and mentions excluding special-treatment stocks in its code.

The implementation details do not fully align: the formula reference uses positive current or weighted ROE, while the code checks that ROE fields are present rather than clearly requiring positive profitability. The code also uses a stated date window and fields whose availability or definitions are not explained. No backtest or return evidence is given. The article cautions that profitability can change with market conditions and that larger price swings require risk control; it suggests adding technical indicators but does not validate that modification.

Key ideas

• The screen combines turnover between 3% and 12%, capitalization below 10 billion yuan, an ROE-based profitability condition, and price amplitude above 1.
• The formula and Python example differ in how they represent profitability, so the operational rule is ambiguous.
• The post provides implementation examples but no historical performance evidence.
• The author notes that profitability can deteriorate and that larger price swings call for careful risk control.

Tags

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