Chinese Small-Cap Stock Screening with Turnover, Range, and Profitability

Summary

This note proposes a Chinese equity screen for companies with market capitalization at or below 10 billion, no losses, daily price range above 1%, and turnover between 2% and 9%. The stated rationale combines stock activity and volatility with a size constraint and a basic profitability check. It suggests adding valuation, dividend, and technical measures such as relative strength or moving-average convergence, potentially adjusting their weights to balance their influence.

The author cautions that range and turnover do not capture company fundamentals or performance comprehensively, and a market-cap ceiling may exclude promising smaller firms. The note includes formula and Python references, but the implementation has limitations: the example uses a particular historical profit field and period, approximates turnover from volume, and does not demonstrate a validated calculation or ranking approach. No backtest or performance evidence is provided, so the screen is best read as a preliminary set of filters rather than a tested strategy.

Key ideas

• The screen combines a daily range above 1%, turnover between 2% and 9%, a market-cap ceiling of 10 billion, and positive earnings.
• The author proposes adding valuation, dividend, and technical indicators.
• The market-cap limit may screen out smaller companies with potential.
• The code uses specific historical data choices and does not establish a validated turnover calculation.
• No backtest or performance evidence is supplied.

Tags

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