Screening Chinese Stocks by Turnover, Profit Growth, and Lower Lows

Summary

This document describes an A-share stock screen that combines trading activity, earnings growth, and a short-term price condition. It selects stocks with turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and no higher than 100%, and a current-day low below the previous day's low. It also provides example formula and Python implementations.

The accompanying discussion frames the screen as a blend of fundamental and technical criteria, while warning that prices may respond to earnings with a lag and that combining criteria does not remove investment risk. It suggests adding valuation measures such as price-to-earnings or price-to-book ratios and trend measures such as moving averages. The examples have implementation caveats: the formula shown for the low-price condition appears inconsistent with the stated rule, and the Python snippet uses a date comparison and data-field indexing that may need checking before use. No performance results or validation of the screen are provided.

Key ideas

• The screen requires turnover between 3% and 12%.
• It filters for parent-company net profit growth above 20% and at or below 100% year over year.
• The stated price condition is that the current day's low is below the previous day's low.
• The author warns that market prices may react to earnings with a delay.
• Valuation and trend measures are suggested as possible additions, but the document reports no backtest results.

Tags

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