Chinese Stock Screen Using Turnover, Profit Growth, and Prior-Day Price Limits

Summary

The screen selects mainland Chinese stocks with turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and at or below 100%, and no limit-up close on the prior day. It excludes ChiNext listings in the illustrated formula, then ranks qualifying names by market capitalization and describes taking the top five. A Python example instead sorts its candidates by a volume field, so the implementation details are not fully consistent with the stated ranking rule.

The accompanying discussion says the screen combines liquidity and fundamental growth with a recent price condition. It cautions that focusing on the previous day's move can miss longer-term trends and macroeconomic changes, and suggests adding technical, industry, and broader economic context. No backtest, returns, or risk statistics are provided, and the sample code's period and field handling would need review before use.

Key ideas

• The screen combines a turnover band with a bounded range of annual net profit growth.
• It excludes stocks that were limit-up on the preceding day and excludes ChiNext stocks in the formula example.
• The stated final selection is the top five after ranking, though the examples differ on the ranking field.
• The source warns that a one-day price condition may overlook long-term and macroeconomic trends.
• No 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.