Screening Chinese A-Shares by Turnover, Profitability, Size, and Auction Gap

Summary

This note describes an A-share stock screen using turnover between 3% and 12%, market capitalization below 10 billion yuan, positive earnings, and an opening auction price change from -2% to 5%. The stated rationale is to focus on profitable, moderately sized, actively traded companies whose auction price shows a bounded move. It includes formula and Python examples, though the code does not consistently implement every stated condition, including the turnover range and auction timing.

The article flags that the screen omits broader company fundamentals and macroeconomic influences, and that relying on the auction move exposes it to shifts in market sentiment. It proposes evaluating fundamentals, industry context, technical indicators, and sentiment together. No backtest, performance data, or evidence of profitability is provided, so the screen is a selection concept rather than a validated strategy.

Key ideas

• The screen combines a 3%–12% turnover band, market capitalization below 10 billion yuan, positive earnings, and an auction move between -2% and 5%.
• The article presents liquidity, moderate company size, and profitability as selection criteria.
• It warns that auction price changes can reflect market sentiment and do not capture fundamental or macroeconomic risks.
• The suggested refinement is to add fundamental, industry, technical, and sentiment analysis.
• The document provides no performance evidence, and its code examples do not fully match all stated criteria.

Tags

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