Chinese Stock Screen Using Turnover, Profit Growth, and Market Capitalization

Summary

This stock selection rule filters for turnover between 3% and 12%, year-over-year net profit growth attributable to parent-company shareholders above 20% and at most 100%, and market capitalization of at least 200 million. The document gives example implementations for screening Chinese equities and describes the intended rationale: combine moderate trading activity and company scale with positive earnings growth.

The author notes that these filters omit industry conditions, competitive position, broader financial health, and valuation. The suggested refinement is to include valuation measures such as price-to-earnings, price-to-book, or PEG, along with industry and balance-sheet analysis. Although example code is included, the document reports no backtest or evidence that the screen produces superior returns. Its examples also use dated accounting inputs, so users would need to check data definitions, reporting timing, and whether the implementation matches the stated screening rule before relying on it.

Key ideas

• The screen selects stocks by turnover, parent-attributable net profit growth, and market capitalization.
• The stated turnover band is 3% to 12%, while the profit growth filter is above 20% and no more than 100%.
• The selection rule does not account for valuation, industry context, competitive strength, or complete financial condition.
• The document suggests adding valuation metrics and conducting company and industry analysis.
• No performance test or return evidence is reported.

Tags

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