Screening Chinese Stocks by Turnover, Profit Growth, and a Price-Limit Signal
Summary
The document describes a Chinese stock selection rule combining three filters: turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and at most 100%, and a prior-day price condition described as a 9:15 matched price at the daily limit down. It then ranks qualifying stocks by the previous day's decline and selects the five with the largest declines.
The article provides formula-style conditions and a Python example using BaoStock data, as well as a brief rationale linking turnover to liquidity and earnings growth to fundamentals. It cautions that the screen omits broader market and funding conditions and suggests adding other technical or fundamental measures. The example code's field handling and price-condition implementation may not exactly match the stated rule, and no backtest results or evidence of predictive performance are supplied.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt selects companies with net profit growth above 20% and no more than 100%.\nA prior-day price-limit condition is combined with the turnover and earnings filters.\nQualifying stocks are ranked by the previous day's decline, with five selected.\nThe article gives no performance evidence and notes that broader market factors are omitted.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.