Screening Small-Cap Chinese Stocks with Profitability and Trend Filters

Summary

This Chinese A-share screening proposal combines daily price range, market capitalization, profitability, moving averages, and valuation. It seeks stocks with at least a one percent high-to-low range, positive net profit, market capitalization up to 10 billion yuan, a 20-day moving average at or above the 120-day average, and a price-to-earnings ratio no higher than the industry average. The document gives example formula and Python-style implementations, but no backtest or returns evidence.

The stated rationale is to combine recent price movement and an upward trend with smaller size, positive earnings, and relative valuation. The author cautions that the filters are narrow, moving averages can lag, and industry or competitive factors may be missed. It suggests adding broader fundamental and industry analysis and using other indicators, but does not specify position sizing, trading rules, or risk controls.

Key ideas

• The screen combines a minimum daily price range with a market capitalization ceiling and positive earnings.
• It uses the 20-day moving average being at least as high as the 120-day average as a trend filter.
• The final version also requires a price-to-earnings ratio no higher than the industry average.
• The document warns that the filters may omit important business factors and that moving averages can lag.
• No backtest, returns, or portfolio risk controls are reported.

Tags

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