Screening Chinese Equities by Range, Size, Profitability, and Turnover

Summary

The document proposes a daily equity screen combining price range, company size, profitability, and trading activity. It selects stocks with a daily high-low range above one percent, market capitalization below 10 billion yuan, positive net income in each of the latest four quarters, and turnover between two and nine percent. The rationale is to combine a market movement measure with basic financial health and a turnover filter intended to reflect activity.

It identifies limitations: turnover does not guarantee adequate liquidity, fixed thresholds can exclude candidates, and observed price range can reflect broad market volatility. It suggests considering historical average turnover and adding technical, fundamental, or market-flow measures. The text supplies sample formula and Python references, but no dataset, backtest, transaction costs, benchmark, or evidence that the screen predicts returns. The screen is therefore a selection rule to evaluate, not a demonstrated profitable strategy.

Key ideas

• The proposed screen combines daily range, market capitalization, quarterly profitability, and turnover thresholds.
• Its final criteria require positive profits for each of the latest four quarters.
• The document warns that turnover alone may not capture liquidity and that fixed cutoffs can miss stocks.
• It suggests testing added indicators and historical turnover measures, but reports no performance results.

Tags

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