Screening Chinese A-Shares by Turnover, Size, Profitability, and Large-Order Flow

Summary

The document describes a short-term A-share screening idea: limit candidates to stocks with turnover between 3% and 12%, market capitalization below 10 billion yuan, and no reported losses, then rank them by net large-order activity. It gives a market-screening formula and a Python example using financial, daily market, and money-flow data.

The author frames the approach as a way to identify speculative opportunities, while warning that the simple filters do not adequately assess business quality or sustainability. The suggested refinement is to include financial performance, valuation, and other company measures alongside market behavior. The code illustrates one implementation but does not provide a backtest, performance evidence, or a complete operational specification; its date ranges and filtering logic would need scrutiny before practical use.

Key ideas

• The screen combines a 3%–12% turnover band with a market-cap ceiling of 10 billion yuan and a no-loss condition.
• Stocks are prioritized using net large-order flow.
• The approach targets short-term trading and does not establish that selected companies are fundamentally sound.
• The document recommends adding financial and valuation factors, but provides no performance test.

Tags

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