A Small-Cap Stock Screen Using Turnover and 20-Day Highs

Summary

The document describes a Chinese A-share screening strategy that filters stocks by daily turnover and circulating market value, then selects those at a recent price high. Its initial description refers to a two-day high, while the proposed final rule extends the lookback to a 20-day high. It also gives example screening conditions and code references for implementing the selection in trading platforms.

The rationale is to combine liquidity and market-size filters with a short-term price breakout signal. The article cautions that a short lookback can miss the broader trend and that the screen ignores company fundamentals. It suggests considering longer-term trend measures and valuation indicators, but supplies no backtest results or evidence that the revised screen is profitable. The examples also use close-price comparisons, so implementation details and the intended definition of a high should be checked against the chosen data source.

Key ideas

• The screen restricts candidates by turnover and circulating market value.
• The proposed final rule selects stocks whose close is at a 20-day high.
• The article first describes a two-day high, then recommends a longer lookback.
• The screen omits fundamentals and broader risk analysis.
• The document provides implementation examples but no performance evidence.

Tags

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