A Small-Cap Stock Screen Combining Profitability, Range, and Large-Order Flow

Summary

This proposed screen targets Chinese-listed companies with market capitalization below 10 billion yuan and positive earnings, while also ranking large-order net flow and requiring daily price amplitude above 1%. An indicator example adds a 20-day low-price condition intended to exclude shares that have fallen too far from a recent low. The article presents the combination as a way to mix company fundamentals with market activity when looking for medium- to long-term candidates.

The author notes that the screen may adapt poorly in falling or range-bound markets and that the size cap can exclude larger companies with potential. Industry-specific adjustments, additional indicators, and dynamic criteria are suggested, along with backtesting. The examples are inconsistent: the prose emphasizes large-order net flow, while the formula uses amount and other conditions; the Python sample also introduces turnover, listing-age, and financial checks. No performance results are reported, and the code does not establish that the selection logic is reliable.

Key ideas

• The proposed screen combines a small market-cap ceiling, positive earnings, large-order flow ranking, and price amplitude.
• An example formula adds a 20-day low-price filter.
• The author warns that the screen may not adjust quickly to falling or range-bound markets.
• The size limit can exclude companies outside the target capitalization range.
• The prose, formula, and Python example use differing criteria, and no backtest results are supplied.

Tags

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