Screening Small-Capitalization Stocks by Range, Profitability, and Auction Activity

Summary

The post proposes an A-share stock screen combining daily price range, market capitalization, positive net profit, and trading activity. It selects companies with a range of at least one percent and market value no greater than 10 billion yuan, then ranks candidates by the day’s auction amount and keeps the top five. The post also includes sample formula and Python references for filtering and sorting stocks.

The stated rationale is that a larger short-term range may offer trading opportunity, smaller companies may have growth potential, positive profit can serve as a basic quality filter, and auction activity may indicate liquidity. It cautions that short-term range and auction rankings can miss longer-term trends and fundamentals, and that a small shortlist may not represent investment value broadly. It suggests adding trend, valuation, and profitability considerations. No test results, return figures, or implementation validation are supplied, and the final combined-screen description is less precise than the initial ranking rule.

Key ideas

• The proposed screen filters for a daily high-low range of at least one percent, positive net profit, and market value up to 10 billion yuan.
• Candidates are sorted by the day’s auction activity, with only five retained.
• The post presents range and activity as short-term opportunity and liquidity proxies, not proven predictors.
• It warns that the screen may overlook longer-term trends, valuation, and broader fundamentals.
• The document gives no backtest results or evidence that the selection rules are profitable.

Tags

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