Screening Chinese Stocks by Volatility, Market Cap, Profitability, and Industry Rating

Summary

This Chinese A-share screen combines daily price range, company size, profitability, an industry rating, and share price. It selects stocks with at least a 1% high-to-low range, positive net profit, market capitalization no greater than 10 billion yuan, an industry labeled high quality by media, and a closing price below 12 yuan. The document provides formula and Python examples for applying those filters.

The rationale is that volatility may create trading opportunities, smaller companies may have growth potential, and positive earnings and a favorable industry label may indicate quality. These are hypotheses rather than demonstrated findings: no performance results or backtest are supplied. The note flags concentration and sector exposure, and cautions that a favorable industry label does not establish that an individual company is sound. It suggests adding valuation, profitability, and volume measures, alongside further business and industry analysis. The screen is a starting point for research, not evidence that selected stocks will outperform.

Key ideas

• The screen requires a daily high-to-low range of at least 1%.
• It excludes loss-making companies and limits market capitalization and share price.
• An industry media rating is used as a proxy for favorable prospects, but needs company-level validation.
• The document gives implementation examples but no evidence of historical or live performance.
• Additional valuation, profitability, and trading measures could make the screen more comprehensive.

Tags

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