Combining Turnover, Market Capitalization, Profitability, and Limit-Up Filters

Summary

This note proposes screening Chinese A-shares for turnover between 3% and 12%, market capitalization below 10 billion yuan, positive profitability, and non-ST status. It further describes selecting stocks with five daily limit-up events, though the wording and example code do not make clear how those events relate to the selection date. A formula and Python example illustrate filters for capitalization, turnover, listing status, and limit-up records.

The approach focuses on short-term price action and liquidity-related characteristics. The author warns that it gives limited attention to company fundamentals, industry direction, and broader market conditions, and recommends incorporating these factors alongside technical analysis. No backtest or performance evidence is supplied. The implementation also appears inconsistent: the stated five limit-up events and the code’s query for a single date are not clearly aligned, and the turnover and capitalization units should be verified against the data source before use.

Key ideas

• The screen combines a 3%–12% turnover range with a market-cap ceiling of 10 billion yuan.
• It excludes ST stocks and requires positive profitability.
• The proposal adds a limit-up condition, but the stated five events are not clearly matched by the example code.
• The author recommends considering fundamentals, industry trends, market conditions, and policy direction.
• No empirical performance or backtest results are provided.

Tags

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