Screening Chinese Stocks by Turnover, Profit Growth, and Prior-Day Returns

Summary

This document proposes a Chinese equity screen combining daily turnover, year-over-year net profit growth attributable to parent-company shareholders, and a filter excluding stocks that closed at their daily high the prior day. The stated thresholds are turnover from 3% to 12% and profit growth above 20% and no more than 100%. It presents the screen as a way to combine trading activity with company fundamentals, and includes sample formula and Python implementations.

The article does not report historical returns or a backtest, so it provides no evidence that the criteria produce an advantage. It acknowledges that the thresholds may admit weak companies and that stock prices can fall or fluctuate sharply. The code examples also do not clearly establish that every implemented field and date check matches the described rule, so the screen should be treated as a proposal requiring data and logic verification. The article suggests adding indicators and explicit exit levels, but gives no tested optimization.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and specified bounds on year-over-year net profit growth.
• It excludes stocks that closed at their daily high in the previous session.
• The proposed rationale combines trading activity with a fundamental growth measure.
• The document offers example implementations but reports no backtest or return evidence.
• The author notes that loose criteria and market movements can still expose users to losses.

Tags

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