A-Share Stock Screen for Volatility, Profits, Small Capitalization, and Price Change

Summary

This post describes a Chinese A-share selection rule combining daily price movement, company profitability, market value, and recent return. It looks for stocks with an amplitude above 1%, market capitalization no greater than 10 billion yuan, positive net profit, and a price change between -5% and 2.6%. The accompanying formula and Python example also add filters for tradable market value and main-board listings.

The author presents larger amplitude as a source of trading opportunity, smaller companies as potential growth candidates, and positive earnings as a quality check. The post offers no performance data or test methodology, so those rationales are not evidence that the screen is profitable. It also flags weak fundamental screening and missing exit rules as risks, and suggests checking financial and industry context, defining profitability over multiple years, and setting stop-loss and take-profit rules. The examples contain implementation details whose definitions and data consistency would need verification before use.

Key ideas

• The screen combines amplitude above 1%, market value up to 10 billion yuan, positive net profit, and a return between -5% and 2.6%.
• The example formula adds minimum tradable market value and a main-board industry filter.
• The post gives qualitative rationales for the filters but reports no backtest or live-trading results.
• It recommends deeper fundamental checks and explicit profit-taking and loss-limiting rules.

Tags

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