Screening Small-Cap Stocks by Volatility, Limit-Ups, and Profitability

Summary

This note outlines a Chinese equity screen combining daily price range, historical limit-up activity, market capitalization, and profitability. It seeks stocks with amplitude above 1%, at least two limit-ups within 500 trading days, market capitalization below 10 billion yuan, and positive net profit in each of the past three years. The stated intent is to combine evidence of price activity with smaller company size and a record of profitability.

The document gives formula and sample-code references for calculating amplitude and counting limit-ups, but it reports no backtest or return results. It cautions that these indicators cannot predict future performance and that market conditions can change the selected stocks’ prospects. It suggests adding valuation, dividend, return-on-equity, and trend measures, and adapting the stock pool to market conditions. The implementation examples contain differing details about the size measure, so the screen would require careful data and definition checks before use.

Key ideas

• The screen combines price amplitude, past limit-ups, market capitalization, and profitability.
• It specifies at least two limit-ups over 500 trading days and positive profits for three years.
• The stated capitalization ceiling is 10 billion yuan.
• The note provides calculation examples but does not report strategy performance.
• It recommends broader valuation and technical checks while warning that market conditions change.

Tags

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