A-Share Screening by Turnover, Market Cap, Profitability, and Trading Value

Summary

The document describes an A-share stock screen combining a 3%–12% turnover rate, market capitalization below 10 billion yuan, no reported losses, and previous-day trading value above 60 million yuan. It explains that turnover and trading value are intended to focus on actively traded stocks, while the profitability and size filters narrow the candidate set. Example formula and Python snippets illustrate how the conditions might be implemented, including a check of reported net income.

The author cautions that activity and liquidity measures do not assess business quality, valuation, or speculative risk. The suggested improvement is to consider operating performance, profitability, competitive position, industry conditions, and risk alongside the quantitative filters. The document provides no backtest, performance data, or evidence that the screen produces returns. Its code examples also use a fixed historical date and depend on data definitions, so they should not be treated as a validated live strategy.

Key ideas

• The screen combines turnover, market capitalization, recent trading value, and a profitability condition.
• The liquidity filters aim to identify stocks with meaningful trading activity.
• The author recommends adding business, industry, and risk analysis to the screening process.
• No backtest or return evidence is provided.

Tags

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