Screening Chinese Stocks by Turnover, Size, Profitability, and Ownership

Summary

The post outlines an A-share stock screen combining a turnover-rate band of 3% to 12%, a market capitalization ceiling of 10 billion yuan, and a requirement to exclude loss-making companies. It adds a filter for selected ownership or enterprise types, though the specific categories are left as placeholders. The article also sketches how these criteria might be expressed in a screening formula and implemented with market and company data from a Python interface.

The author notes that industry and policy conditions can affect results and suggests considering those factors alongside fundamentals. No backtest, portfolio construction rules, rebalancing schedule, or transaction-cost analysis is provided. The code excerpt should not be treated as a validated implementation: its screening logic and data dates need careful review before use. The screen describes candidate selection only and does not establish expected returns or investment suitability.

Key ideas

• The proposed screen selects A-shares with turnover between 3% and 12% and market value below 10 billion yuan.
• It excludes loss-making firms and adds a filter for selected enterprise types.
• The enterprise categories are placeholders rather than defined criteria.
• The post recommends considering industry, policy, and fundamental conditions alongside the basic filters.
• No tested returns, portfolio rules, or transaction-cost estimates are supplied.

Tags

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