Small-Cap A-Share Screen for Turnover, Profitability, and Rising Price

Summary

This A-share selection recipe targets companies with market capitalization below 10 billion yuan, turnover between 3% and 12%, and no losses, then applies a price condition intended to identify the start of a strong upward move. The example formula compares closing prices with a five-day moving average and checks that the prior close was more than 2% above its prior average. The accompanying Python sketch also mentions excluding special-treatment stocks and using positive return on equity as a profitability proxy.

The author notes that technical measures can lag and proposes adding financial metrics such as earnings growth or valuation. The code’s market-wide signal and company-level conditions do not clearly align throughout, and the short example period is not evidence of strategy performance. The document reports no backtest or live results, so its rules require careful definition and validation before practical use.

Key ideas

• The screen combines turnover of 3% to 12%, market capitalization below 10 billion yuan, and a no-loss condition.
• A short-term price rule is used to represent the beginning of a rising move.
• The formula references a five-day moving average and a prior close more than 2% above it.
• The author suggests adding fundamental measures, while warning that technical signals may lag.
• No strategy performance is reported, and the code’s conditions require clarification.

Tags

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