A Small-Cap Stock Screen Using Auction Activity and Profitability

Summary

The document proposes a Chinese equity screening rule that selects companies with an amplitude above one, ranks them by the day’s auction amount, keeps the top five, limits market capitalization to below 10 billion yuan, and requires positive net profit in the latest quarter. It frames large amplitude as a source of potential opportunity and auction turnover as a way to avoid very inactive shares, while profitability and size are used as basic fundamental filters.

The article suggests adding valuation and industry measures or widening the size and profitability constraints to include more growth companies. It provides example platform formulas and Python-like pseudocode, but the code shown is inconsistent with the stated rule in places, including the amplitude condition and ranking expression. No backtest results or performance evidence are reported, and the author acknowledges that the screen omits factors such as shareholder background and industry outlook. Treat it as a screening sketch requiring data and implementation checks, not as a validated strategy.

Key ideas

• The proposed screen combines price amplitude, auction amount ranking, market capitalization, and recent quarterly profitability.
• Its stated selection rule limits the universe to the top five auction-amount names below the specified size cap.
• Valuation and industry measures could supplement the technical and profitability filters.
• The article reports no performance test and notes that the screen can exclude larger or temporarily loss-making growth firms.
• The example formulas do not consistently implement the written criteria, so the rules need validation before use.

Tags

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