A-Share Small-Cap Screen Using Turnover and the 30-Day Average

Summary

This proposed A-share screen targets companies with turnover between 3% and 12%, market capitalization below 10 billion yuan, and positive earnings, then selects stocks trading above their 30-day moving average. The stated rationale is to combine a size and liquidity range with profitability and a basic trend condition. The document includes example screening logic and Python-style implementation details, but gives no backtest results, performance figures, or evidence that the filters improve returns.

The author notes that the method omits company prospects and valuation, leaving it exposed to shifts in market sentiment. A moving average also lags price changes and can miss some advances. The suggested extension is to assess fundamentals, industry conditions, technical signals, and sentiment together, including trend and momentum. Those additions are broad recommendations, not a specified or tested model. The code example also does not clearly implement every stated condition, so its implementation should be checked before use.

Key ideas

• The proposed screen combines 3%–12% turnover, a market-cap ceiling of 10 billion yuan, positive earnings, and price above the 30-day average.
• The method uses liquidity, size, profitability, and a simple trend filter.
• The document identifies valuation and future business prospects as omitted considerations.
• Moving averages can lag market moves, and the article supplies no performance evidence for the screen.

Tags

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