Screening A-Shares by Turnover, Market Capitalization, Profitability, and Heat

Summary

This note outlines an A-share stock screen using a turnover range of 3% to 12%, a market capitalization below 10 billion yuan, and a condition that the company is not loss-making. Eligible stocks are then meant to be ranked by individual-stock heat, with the more popular names first. The note’s sample code does not clearly implement that ranking: it sorts a field called float share, which is not the stated heat measure, and its data checks do not reliably establish that the selected observations satisfy the stated bounds.

The author presents popularity as a way to identify stocks attracting market attention, but acknowledges that this alone may not indicate investment quality or efficient use of capital. The proposed refinement is to combine attention with profitability, growth, operating condition, and competitive position. No backtest, definition of stock heat, or evidence of returns is supplied. The criteria are therefore a screening concept rather than a validated strategy, and implementation details would need to be resolved before evaluating it.

Key ideas

• The proposed screen limits turnover to 3%–12% and market capitalization to below 10 billion yuan.
• It excludes loss-making companies and intends to rank the remaining stocks by market heat.
• The example code sorts by float share, which does not match the stated heat ranking.
• The note recommends adding measures of profitability, growth, business condition, and competitiveness.

Tags

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