Chinese Stock Screening by Turnover, Earnings Growth, and Daily Return

Summary

This stock screen combines turnover, year-over-year net profit growth attributable to the parent company, and the day’s price change. It selects stocks with turnover from 3% to 12%, profit growth above 20% and at most 100%, and a daily return above -5% but below 2.6%. The article presents the rule as a variation that drops an auction-return filter while retaining a price-movement range. It includes example indicator and Python implementations, though the Python fields and data handling do not clearly match all the named criteria.

The document gives no backtest, performance statistics, or evidence that the screen predicts returns. It warns that the criteria are narrow and that the return bounds are subjective, potentially overlooking company fundamentals and value. It suggests adding fundamental and technical measures, but provides no tested optimization. Treat the screen as a rule specification requiring validation, data checks, and risk controls rather than as evidence of an effective strategy.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects year-over-year parent-company net profit growth above 20% and no greater than 100%.
• The daily return must be greater than -5% and less than 2.6%.
• The article cautions that price filters alone provide limited fundamental assessment and may produce unreliable selections.

Tags

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