Screening Chinese Equities by Turnover, Market Value, Profitability, and Recent Highs

Summary

This A-share screening proposal combines a turnover range of 3% to 12%, a circulating market value below 10 billion yuan, and a profitability filter intended to exclude loss-making firms. It then selects or ranks stocks whose recent price action reaches a two-day high, with the stated ranking favoring higher closing prices. The post provides a formula and a Python example intended to implement these conditions.

The accompanying discussion cautions that a recent high does not establish future performance and may cause other opportunities to be missed. It suggests adding technical and risk measures and assessing the factors together. The implementation details are not fully consistent: the formula refers to the prior day's high relative to the two-day maximum, while the prose describes recent closing prices, and the sample code uses a return-on-equity check as a proxy for avoiding losses. No backtest, holding period, portfolio construction method, or evidence of returns is given, so the screen is a candidate filter rather than a validated strategy.

Key ideas

• The proposed screen combines turnover, market capitalization, profitability, and recent price highs.
• The stated turnover range is 3% to 12%, and the market value ceiling is 10 billion yuan.
• The post warns that reaching a recent high does not imply continued gains.
• The prose, formula, and sample code do not define the recent-high condition consistently.
• No historical performance evidence or complete portfolio rules are supplied.

Tags

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