Screening Chinese Stocks by Turnover, Size, Profitability, and Recent Price Spikes

Summary

The proposed A-share screen limits candidates to stocks with turnover between 3% and 12%, market capitalization below 10 billion yuan, and positive net income. Within that group, it looks for at least one daily gain of 10% or more during the latest 25 trading days. The article presents this as a way to find stocks with strong recent price action, alongside example selection logic and code references.

The post cautions that a recent sharp rise does not establish durable performance and that the screen may capture short-lived speculative activity. It suggests adding valuation, economic, earnings-growth, ownership, and governance measures. No backtest results, benchmark, portfolio construction rules, or evidence of future returns are provided. The code examples also use fixed historical date ranges, so they do not fully implement the stated rolling lookback as written; the screen should be treated as a selection idea requiring validation.

Key ideas

• The screen applies turnover, market capitalization, and positive-income filters to A-share stocks.
• It seeks a daily gain of at least 10% within the latest 25 trading days.
• The post warns that price spikes may reflect short-lived speculation rather than persistent strength.
• It recommends combining price action with valuation, earnings, and governance information.
• No performance testing is reported, and the example code uses fixed date ranges.

Tags

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