Screening Chinese Stocks by Volatility, Profitability, Size, and Price

Summary

This A-share screening strategy combines a daily price-range threshold with company and price filters. It selects stocks whose high-to-low range is at least 1%, whose market value is positive and no more than 10 billion yuan, whose net profit is positive, whose share capital exceeds 200 million, and whose closing price is below 12 yuan. The document explains the intended rationale: seek active, smaller companies that are profitable and have some scale. It also provides example formulas and a Python-based outline for applying the conditions.

The post offers no performance results or evidence that these filters predict returns. It cautions that the rules omit industry prospects, competitive position, and other fundamentals, and that delayed review can leave a portfolio out of step with changing conditions. The suggested improvement is to incorporate broader financial and industry analysis and to revisit the selection periodically. The thresholds define a narrow screen; they do not by themselves specify portfolio weights, holding periods, or exit rules.

Key ideas

• The screen requires a daily high-to-low price range of at least 1%.
• It limits market value, requires positive net profit and share capital above 200 million, and caps the closing price below 12 yuan.
• The post frames price activity, company profitability, and minimum scale as complementary selection criteria.
• Industry conditions and other fundamentals are omitted, so the screen needs broader analysis and periodic review.
• The document gives no backtest evidence, portfolio sizing, or exit rules.

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