Chinese Stock Screen Combining Volatility, Profitability, and Market Capitalization

Summary

The article describes a Chinese stock screen that looks for daily amplitude above 1%, total market capitalization no greater than 10 billion yuan, positive net profit, and tradable market capitalization from 5 to 10 billion yuan. It presents volatility as a way to find active stocks, smaller capitalization as a possible growth characteristic, positive earnings as a basic quality filter, and a tradable-value range as a way to focus on companies of some scale.

Example formula and Python snippets illustrate combining these criteria, with the code also applying an industry-related restriction. The article does not provide performance tests or evidence that the selected size and volatility ranges improve returns. It notes that short-term indicators and tradable capitalization can mislead, and recommends adding broader fundamental, qualitative, and long-term considerations. Definitions, data timing, and the mismatch between the prose and some implementation details should be checked before reproducing the screen.

Key ideas

• The screen combines amplitude above 1%, total market value up to 10 billion yuan, positive net profit, and tradable market value from 5 to 10 billion yuan.
• The author presents volatility, company size, profitability, and tradable value as complementary selection criteria.
• The examples include an industry restriction that is not clearly emphasized in the written selection logic.
• No evidence of returns is supplied, and the article warns that market capitalization and short-term measures can produce misleading selections.

Tags

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