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

Summary

This proposed A-share stock screen combines market activity, company size, profitability, and recent price action. It selects stocks with turnover between 3% and 12%, market capitalization below 10 billion yuan, positive income, and at least one limit-up event during the prior month. The rationale is to find relatively active stocks that have shown short-term strength while excluding loss-making firms. The post suggests adding indicators such as MACD and KDJ to refine the selection.

The document also provides an example stock-listing workflow, but its sample financial and daily-price date ranges do not match the stated one-month selection rule. It gives no backtest, return estimates, benchmark, or evidence that the added indicators improve results. The author identifies risks from the small number of qualifying stocks and from relying on shifting market sentiment and hot sectors. The screen is a hypothesis to evaluate, with point-in-time data, exchange-specific limit rules, and realistic execution assumptions needed for a credible test.

Key ideas

• The screen combines turnover, market capitalization, positive income, and a recent limit-up event.
• Its stated thresholds are turnover from 3% to 12%, capitalization below 10 billion yuan, and a limit-up within the prior month.
• The proposed rationale is to focus on active stocks with recent strength while excluding loss-making companies.
• The post suggests using MACD or KDJ as additional selection inputs but provides no evidence of improvement.
• The sample code’s date ranges do not directly implement the stated prior-month rule, and no backtest results are reported.

Tags

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