A Small-Cap A-Share Screen Using Turnover, Profitability, and Daily Returns

Summary

This proposed A-share stock screen filters for companies with turnover between 3% and 12%, market capitalization below 10 billion yuan, and no losses, then selects stocks with daily returns from −5% to 2.6%. The accompanying formula and Python example illustrate screening, excluding ST-designated shares, checking earnings, and ranking candidates by circulating market value. The text’s description and code are not fully aligned: the formula includes additional capitalization bounds, while the Python example uses a fixed historical date and contains questionable or inconsistent data-field usage.

The article cautions that daily price movement alone does not account for company fundamentals or macroeconomic conditions. It suggests combining fundamental, industry, technical, and sentiment inputs, but supplies no backtest results or evidence that the screen is profitable. The criteria are therefore a screening proposal, not a validated investment strategy; data quality, survivorship, and execution effects are also left unaddressed.

Key ideas

• The screen combines turnover, market capitalization, profitability, and a bounded daily return filter.
• The examples show screening listed A-shares and ranking qualifying stocks by circulating market value.
• The formula and Python sample differ in their stated market capitalization bounds and implementation details.
• The article identifies missing fundamental and macroeconomic context as a risk.
• No performance evidence is provided, so the proposed criteria remain unvalidated.

Tags

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