Screening Chinese Equities by Turnover, Market Cap, Profitability, and Prior Limit-Ups

Summary

This post describes an A-share screen requiring turnover between 3% and 12%, market capitalization below 10 billion yuan, and positive income, while excluding stocks that hit the daily price limit the previous day. It presents the rationale as avoiding excessive chasing after sharp moves while selecting relatively active, profitable smaller companies. The author suggests checking market trends and company fundamentals alongside the filters.

The post includes example screening logic and a sample routine that checks income and daily price-change data. It also notes risks from sentiment-driven hot sectors and changing market conditions, recommending ongoing review, additional indicators such as MACD or KDJ, and risk controls. No backtest results, performance statistics, or evidence of profitability are provided, so the criteria should be treated as a screening proposal rather than a validated strategy.

Key ideas

• The screen targets A-shares with turnover from 3% to 12%, market capitalization below 10 billion yuan, and positive income.
• It excludes stocks that reached the daily price limit on the previous day to reduce momentum chasing.
• The post recommends considering market trends and company fundamentals alongside the screening rules.
• It identifies sentiment shifts and changing market data as risks requiring periodic review and risk controls.

Tags

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