Small-Cap A-Share Screen Using Turnover, Profitability, and Two-Day Highs
Summary
The proposed screen targets A-share companies with turnover between 3% and 12%, market capitalization below 10 billion yuan, and a positive profitability measure. It also checks whether the prior day's high is the highest across a two-day window, then ranks qualifying stocks by closing price. The post includes a screening formula and sample Python logic that uses positive return on equity to represent the no-loss condition.
The explanation notes that a recent price high alone does not indicate future performance and could exclude stocks that later become attractive. It recommends combining the screen with additional technical and risk measures. The implementation has ambiguities: the title and prose describe a two-day highest point, but the formula checks the previous day's high, while the example data window and turnover units may not align cleanly with the stated thresholds. The post gives no backtest or outcome data, and it does not specify position sizing, holding period, or exit rules. Treat it as a screening concept requiring data and logic validation.
Key ideas
- The screen combines a 3% to 12% turnover range, a market-cap ceiling, and positive profitability.
- It checks whether the previous day's high is the maximum over a two-day period.
- Qualifying stocks are ordered by closing price in the described implementation.
- A recent high alone is not evidence of future gains and may exclude other candidates.
- The code and prose contain ambiguities, and no backtest results are reported.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.