A-Share Screen Using Turnover, Market Capitalization, Profitability, and Volume Ratio

Summary

This article describes an A-share screen for stocks with turnover between 3% and 12%, market capitalization below 10 billion yuan, no reported loss, and a volume ratio between 1.5 and 6. The rationale centers on trading activity: turnover and volume ratio are used to find stocks with elevated but bounded participation, with profitability and size serving as additional filters. The document frames the approach as suitable for short-term, speculative trading and includes example screening logic.

No backtest, return series, or evidence of predictive performance is presented. The article cautions that volume conditions describe past or current activity and may not persist, while a screen focused mainly on trading volume can overlook broader business fundamentals and market conditions. It proposes combining the filters with fundamentals, recent price behavior, and technical indicators, but does not test those additions. The criteria therefore describe a candidate-selection method rather than a validated strategy, and the article gives no entry, exit, or position-sizing rules.

Key ideas

• The screen filters A-shares by turnover, market capitalization, reported profitability, and volume ratio.
• The specified volume-ratio interval is intended to capture active trading while excluding extreme readings.
• The article presents the method as a short-term speculative screen rather than a demonstrated predictive strategy.
• It provides no backtest or performance evidence, and past volume conditions may not continue.
• The author suggests adding fundamental and technical context, while leaving trade management unspecified.

Tags

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