Screening A-Shares by Turnover, Size, Profitability, and Recent Limit-Ups

Summary

The document describes a Chinese A-share stock screen combining trading activity, company size, profitability, and recent price action. It selects shares with turnover between 3% and 12%, market capitalization below 10 billion yuan, positive income, and consecutive limit-up sessions on the prior day. It also includes a platform formula and a Python example that illustrates stock-list retrieval, an income check, and a recent-return filter.

The author characterizes the screen as combining technical and fundamental considerations, while acknowledging that price-focused selection can be affected by market sentiment and omits deeper review of business and financial conditions. The suggested improvements are to assess company and industry fundamentals, diversify across a strategy portfolio, and control position risk. No backtest, benchmark comparison, or realized performance evidence is supplied. The code’s example date ranges and checks may not fully match the stated screening conditions, so the description should be treated as a rough screening idea rather than a validated strategy.

Key ideas

• The screen combines turnover, market capitalization, positive income, and recent consecutive limit-up behavior.
• The stated turnover range is 3% to 12%, and the market capitalization ceiling is 10 billion yuan.
• The document provides platform-formula and Python examples for implementing a related screen.
• It warns that price-action screening can be exposed to sentiment and may omit important company fundamentals.
• No backtest or performance evidence is provided, and the example code may not exactly implement every stated condition.

Tags

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