A-Share Stock Screen Using Turnover, Profitability, and Buy-Sell Volume

Summary

This document describes a Chinese A-share stock screen combining turnover, market capitalization, profitability, and order-flow measures. It selects stocks with turnover between 3% and 12%, market value below 10 billion yuan, positive average earnings per share over three periods, and buy volume more than 1.3 times sell volume. The example ranks qualifying stocks by the buy-to-sell volume ratio and returns a chosen number of names.

The rationale is to combine trading activity and liquidity with a basic profitability filter. The article provides screening logic and illustrative formula and Python implementations, but no backtest or performance evidence. It cautions that the screen omits broader fundamental and market conditions, and that the order-flow ratio may vary seasonally. The rules therefore need long-term evaluation and could be supplemented with financial, macroeconomic, valuation, and risk measures.

Key ideas

• The screen requires A-share turnover between 3% and 12% and market capitalization below 10 billion yuan.
• It filters for positive earnings per share across the latest three periods.
• It selects and ranks stocks whose buy volume exceeds sell volume by more than a factor of 1.3.
• The article provides implementation examples but no evidence of historical or live performance.
• The author notes that market conditions and seasonal variation in the volume ratio may affect results.

Tags

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