Chinese Stock Screening by Turnover, Profit Growth, and Float Value

Summary

The document describes a Chinese equity screen combining three filters: turnover between 3% and 12%, year-over-year net profit growth attributable to parent-company shareholders above 20% and no greater than 100%, and floating market capitalization above 10 billion yuan. It also gives example implementations using a Chinese stock-selection formula and Python with Baostock. The Python example checks current or prior-day market data, excludes certain listed-stock segments, and sorts qualifying names by turnover.

The accompanying rationale is that turnover may help screen for trading activity while profit growth and float value add fundamental and size criteria. However, it supplies no backtest, benchmark, or evidence that the combination predicts returns. It warns that the screen may miss other relevant fundamentals and that a single float-value threshold may fit industries differently. The stated profit data uses a fixed historical reporting period in the sample, so the code should not be assumed to implement a current, point-in-time strategy without adjustments.

Key ideas

• The screen requires turnover from 3% through 12% and year-over-year parent-attributable net profit growth above 20% and up to 100%.
• It also filters for floating market capitalization above 10 billion yuan.
• The examples sort selected stocks by turnover and include a Python implementation using Baostock.
• The document offers no performance test, and its fixed historical profit-data period limits direct use as a current screen.
• Industry differences and omitted fundamentals may affect which companies the criteria select.

Tags

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