Screening Chinese Stocks by Price Move, Size, Profitability, and Turnover

Summary

This stock-selection screen combines four filters: a daily price move greater than 1%, market capitalization no more than 10 billion yuan, positive net profit, and turnover between 3% and 12%. The accompanying rationale is that a meaningful price move and moderate turnover may identify active shares, while positive earnings and a smaller company size may capture profitable smaller firms with growth potential. Formula and Python examples illustrate applying the conditions to Chinese A shares.

The article does not report a backtest, returns, or risk-adjusted results, so its claims about opportunity and growth are not established by evidence in the document. It warns that smaller companies and high-turnover shares can be volatile, and that turnover does not perfectly measure risk. It suggests considering industry and other risk controls, but does not specify a portfolio construction method, holding period, execution rules, or how to treat changing fundamentals. The screen is a starting filter rather than a complete strategy.

Key ideas

• The screen requires a daily price move above 1%, market value up to 10 billion yuan, and positive net profit.
• It restricts turnover to a range from 3% to 12%.
• The article frames smaller size, profitability, and activity as selection rationales but offers no backtest evidence.
• Smaller firms and high-turnover stocks may carry greater volatility and risk.
• Industry analysis and additional risk controls may be needed to refine the screen.

Tags

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