A-Share Stock Screen Using Net Buying, Turnover, and Market Capitalization

Summary

This Chinese community post proposes a daily A-share screen based on recent net buying, prior-day trading value, and company size. The stated idea is to find smaller companies with positive buying activity and sufficient liquidity, while also describing the targets as profitable. It gives an illustrative filtering routine and discusses adding financial condition, industry outlook, and profitability measures to strengthen the selection process.

The post offers no backtest results or evidence that the screen earns excess returns, and it acknowledges that three simple market variables omit important company and sector information. There are also inconsistencies between the prose and the sample code: the code uses different turnover and market-cap thresholds than the written criteria, and it does not implement the stated profitability condition. The selection rule therefore needs clarification and careful historical testing before its behavior can be evaluated.

Key ideas

• The proposed screen combines recent net buying with prior-day turnover and a small-company limit.
• The written criteria also call for profitable firms, but the example code does not test profitability.
• The code’s turnover and market-cap cutoffs differ from those stated in the prose.
• The author suggests adding financial and industry factors and varying the holding horizon.
• No performance results establish that this screen is profitable or robust.

Tags

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