A-Share Screen Combining Turnover, Market Capitalization, Profitability, and Returns

Summary

This proposed A-share screen combines turnover between 3% and 12%, market capitalization below 10 billion yuan, positive net income, and a positive historical return. The article frames the return criterion as a short-term selection input and includes formula and Python examples intended to retrieve financial, market-capitalization, and price data. It also suggests adding technical indicators and company fundamentals to create a broader selection process.

The document supplies no backtest or evidence that the filters predict future returns. It explicitly warns that positive past performance may not persist and that focusing on historical returns and market size without adequate fundamental analysis can make the approach speculative. There is also an inconsistency between the prose, which refers to market capitalization below the threshold, and the displayed formula, which uses a greater-than comparison for circulating market value. The screen should therefore be treated as an illustrative idea whose criteria and implementation need careful validation.

Key ideas

• The proposed screen uses turnover of 3% to 12%, market capitalization below 10 billion yuan, positive net income, and positive historical returns.
• The article characterizes historical return as a short-term selection signal but provides no evidence of predictive value.
• It cautions that past returns may not continue and that sparse fundamental checks can increase speculative risk.
• The displayed formula conflicts with the prose on the direction of the market-value threshold.
• Suggested additions include technical indicators and company fundamentals.

Tags

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