A Small-Cap Growth Stock Screen with Profitability and Quality Filters

Summary

This Chinese equity screening strategy ranks stocks using cross-sectional measures of circulating market capitalization, closing price, and earnings per share, then combines the ranked factors into a total score. Its stated filters exclude special-treatment stocks, suspended stocks, recent listings, and Beijing Stock Exchange listings. It also requires positive price-to-earnings below 25, low debt, a high proportion of core business revenue, and operating profit above a minimum share of total profit. The stated sorting order prioritizes smaller circulating market capitalization.

The described backtest spans 2020 through the present as recorded in the document and holds ten stocks equally weighted for one day, buying and selling at the open. It lists an initial capital amount and identifies the data tables used, but provides no performance chart or numerical return, drawdown, or benchmark comparison in the extracted text. The factor construction weights, treatment of execution costs, and safeguards against look-ahead or survivorship bias are also not explained, so the strategy cannot be evaluated fully from this description alone.

Key ideas

• The screen combines ranked market capitalization, closing price, and earnings-per-share measures into a composite score.
• It filters for listed, active Chinese stocks with specified valuation, leverage, and business-quality characteristics.
• The sorting rule favors stocks with smaller circulating market capitalization.
• The portfolio holds ten equally weighted stocks for one day and trades at the open.
• The available description omits backtest performance and important implementation assumptions.

Tags

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