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

Summary

This stock-selection screen combines four filters: daily price amplitude above 1%, turnover between 2% and 9%, market capitalization no greater than 10 billion yuan, and positive parent-company earnings for the referenced fiscal year. The rationale is to seek actively traded, relatively volatile smaller companies while excluding firms reporting losses. The article also provides formula and Python examples intended to implement the screen, though the code’s data fields and turnover calculation may not match the stated concepts cleanly.

The post supplies no backtest, portfolio returns, or evidence that these thresholds predict future performance. It cautions that volatility and turnover do not capture a company’s fundamentals, and a size cap may exclude promising firms. It suggests combining the screen with valuation, dividend, and technical measures, with factor weights adjusted as appropriate. The selection rules are therefore a starting point for research, not a validated strategy; implementation would require checking data definitions, timing, and historical results.

Key ideas

• The screen requires price amplitude above 1%, turnover from 2% to 9%, market capitalization up to 10 billion yuan, and positive earnings.
• The filters aim to combine trading activity and volatility with company size and profitability.
• The article warns that trading statistics alone do not represent a company’s full fundamentals.
• A market-cap ceiling can exclude smaller companies that may have potential.
• The suggested extra valuation, dividend, and technical factors are not tested in the post.

Tags

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