Screening Chinese Stocks by Range, Turnover, Market Cap, and Profitability

Summary

The document proposes a Chinese stock screen combining four criteria: daily high-low amplitude above 1%, prior-day trading volume above 60 million, market capitalization below 10 billion, and positive net profits over the previous three years. It presents the range and volume filters as a way to find actively moving, liquid stocks, the capitalization limit as a size constraint, and the profitability condition as a basic financial quality check. Reference logic is provided for both a screening formula and a Python workflow.

The post warns that short-term price movement can lead to chasing rises or selling declines, and that reported financial data may be uncertain or inaccurate. It suggests considering additional fundamentals, such as dividend yield or price-to-sales, and checking financial information against other sources. The document offers no backtest results, execution rules, or evidence that the combined filters generate returns; its criteria are a screening proposal rather than a validated strategy.

Key ideas

• The proposed screen requires daily high-low amplitude above 1% and prior-day trading volume above 60 million.
• It limits eligible companies to market capitalization below 10 billion.
• It also requires positive net profits across the prior three years.
• The author notes risks from short-term price swings and potentially unreliable financial disclosures.
• The screen is presented without backtest evidence or trading rules.

Tags

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