Screening Chinese Stocks by Turnover, Market Value, Profitability, and Scale

Summary

This post proposes screening A-share stocks for turnover between 3% and 12%, market value below 10 billion yuan, scale above 200 million yuan, and no losses. It presents the screen as a way to combine trading activity, company size, and profitability, then recommends considering industry, policy, and broader fundamentals when choosing among candidates.

The post warns that reported fundamentals can lag current conditions and that the size threshold may admit weak or risky companies. It includes example screening logic and Python code, but no backtest, portfolio rules, or evidence that the screen improves returns. The example code also does not clearly implement the stated market-value conditions consistently, so its output should not be treated as a verified reproduction of the written screen. The proposal is a basic stock-selection filter with substantial room for validation and refinement.

Key ideas

• The screen combines turnover, market value, company scale, and loss status for A-share stocks.
• It proposes adding industry, policy, and other fundamental considerations to candidate selection.
• The post cautions that fundamentals may lag and that the scale threshold may include risky firms.
• No performance results or backtest are supplied, and the example code may not match the stated criteria.

Tags

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