A-Share Screening with Volatility, Profitability, Size, and Turnover

Summary

This post describes a Chinese A-share stock screen combining daily price range, company size, profitability, turnover activity, and a weekday filter. It selects stocks with a daily high-to-low range of at least 1%, market capitalization up to 10 billion yuan, and positive net profit. It also applies a turnover-based ratio bounded between 0.5 and 2; the accompanying examples add a moving-average trend filter and exclude stocks marked as special treatment companies.

The post argues that volatility may create trading opportunities, smaller firms may have growth potential, and profitability and liquidity filters can remove weaker candidates. It provides indicator and Python examples, but no backtest results or evidence that the screen earns returns. Its own caveats include elevated risk from volatile stocks, potential pullbacks after recent gains, and overreliance on a small set of indicators. It recommends adding broader trend, valuation, financial-health, and capital-flow measures, alongside risk controls and position sizing. The turnover expression and timing conventions in the examples are not fully clear, so the implementation would need validation before use.

Key ideas

• The screen combines a daily range threshold, a market-cap ceiling, and positive net profit.
• It filters for a turnover-based ratio between 0.5 and 2.
• The code example adds a moving-average trend condition and excludes special-treatment stocks.
• The post provides no performance evidence and identifies volatility and single-indicator dependence as risks.

Tags

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