A-Share Screen Using Market Capitalization, Profitability, and Prior-Day Turnover

Summary

This proposed A-share screen combines market capitalization below 10 billion yuan, a non-loss-making business, a current turnover range of 3% to 12%, and prior-day actual turnover between 3% and 28%. It treats moderate turnover as a way to favor liquid, active shares while filtering out both thin trading and unusually high turnover. The document includes a screening formula and sample Python code, though the implementation’s turnover and profitability fields may not align cleanly with the described measures.

The note does not provide a backtest or evidence that the filters predict returns. It acknowledges that the screen emphasizes company-level size and trading activity while leaving broader market conditions and fuller fundamentals underexamined. It recommends considering profitability, financial condition, industry prospects, and macroeconomic factors alongside the filters. The strategy is therefore a candidate-selection recipe, not a demonstrated return model, and would require data-definition checks before systematic evaluation.

Key ideas

• The screen combines a market-capitalization ceiling, no losses, and turnover filters for A-shares.
• It uses prior-day turnover from 3% to 28% to target active trading while avoiding extreme turnover.
• The sample code and stated definitions may differ in how they measure turnover and profitability.
• No return evidence or backtest is supplied.
• The note recommends broader fundamental and market-context analysis.

Tags

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