Screening Stocks by Price Range, Profitability, and Market Capitalization

Summary

This post outlines a Chinese equity screen combining daily price amplitude above 1%, total market capitalization no greater than 10 billion yuan, positive net profit over the latest four quarters, and circulating market capitalization above 10 billion yuan. It frames the rules as a blend of price movement, profitability, and tradability filters. The document includes example formula and Python-style code, but it provides no backtest, historical results, or evidence that the criteria predict returns.

The author notes that circulating capitalization is only an imperfect proxy for liquidity, since trading volume can still be low or ownership concentrated. Large market swings may also affect the amplitude condition, and stacking strict requirements can leave few candidates. Suggested changes include using turnover or transaction value as liquidity measures and adding other technical or fundamental indicators. The screen’s combination of a small total capitalization ceiling and a much larger circulating capitalization floor may be difficult to satisfy, and the post does not discuss this tension.

Key ideas

• The screen requires amplitude above 1% and total capitalization at or below 10 billion yuan.
• It also requires positive net profit in each of the latest four quarters and circulating capitalization above 10 billion yuan.
• Circulating capitalization is presented as a liquidity proxy, though the author acknowledges its limitations.
• Strict or market-sensitive conditions can sharply reduce candidates or produce unexpected selections.
• The post offers example formulas but no performance evaluation.

Tags

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