A-Share Screen for Turnover, Small Market Value, and Positive Returns

Summary

This document outlines an A-share stock screen using a turnover range of 3% to 12%, market value below 10 billion yuan, positive return on equity, and exclusion of the STAR Market. It also mentions excluding stocks with an ST designation in its Python example. The screen combines trading-activity and size thresholds with a basic profitability filter.

The post explains that excluding the STAR Market may omit high-growth companies and suggests adding fundamental measures such as dividend yield or PEG. It provides indicator logic and an example data workflow, but no backtest, performance results, or evidence that the selected thresholds improve returns. The examples also mix terminology and data fields, so implementation details should be checked against the chosen data provider. The proposed filters are best understood as a starting point for stock selection, with no defined entry timing, exit rules, or portfolio risk controls.

Key ideas

• The screen selects A-shares with turnover between 3% and 12% and market value below 10 billion yuan.
• It requires positive return on equity and excludes STAR Market companies.
• The example code also attempts to remove stocks marked ST.
• The author notes that excluding the STAR Market can omit potential high-growth companies.
• No backtest or evidence of profitability is provided.

Tags

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