Chinese Stock Screen Using Volatility, Market Cap, Profitability, and Auction Turnover

Summary

This post describes a Chinese A-share screening rule that combines daily price movement, company size, profitability, and opening-auction turnover. It selects stocks with an absolute daily price change above 1%, market capitalization no greater than 10 billion yuan, positive net profit, and prior auction turnover above 0.26. The article includes formula and Python examples intended to implement these conditions.

The rationale is that larger price moves and higher auction turnover may indicate active trading, while the size and profit filters focus the screen on smaller profitable companies. The post does not provide backtest results or evidence that these characteristics lead to superior returns. It cautions that small-cap stocks can be volatile and that relying on auction turnover alone may omit important information. It suggests adding valuation and industry considerations, but offers no tested optimization or detailed portfolio, entry, exit, or risk-management rules.

Key ideas

• The screen combines daily price movement, market capitalization, positive net profit, and prior auction turnover.
• The market-cap ceiling is intended to focus the selection on smaller companies.
• The article presents implementation examples but reports no performance test.
• Small-cap volatility and reliance on a few simple filters are identified as risks.

Tags

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