Small-Cap Chinese Stock Screening with Ranked Turnover and Price Factors

Summary

This document describes a daily Chinese equity screen that ranks stocks by free-float market capitalization, turnover rate, and closing price, combines the rankings into a composite score, then selects the lowest-ranked names. It filters out special-treatment and suspended stocks, requires more than a year of listing history and positive earnings, and limits the universe to main-board companies below the stated market-cap threshold. The example holds ten stocks equally, with a one-day holding period and trades scheduled at the open.

The document gives the backtest period, starting capital, data table, and execution timing, but provides no readable performance figures or discussion of transaction costs, slippage, survivorship bias, or the exact factor weights. The linked source is not included in the text, so the score’s construction and ranking details cannot be independently assessed. Treat this as a brief strategy specification rather than evidence that the screen is profitable; live results may differ, especially with daily turnover and open-price execution.

Key ideas

• The screen combines cross-sectional ranks of free-float market capitalization, turnover, and closing price into a composite score.
• It restricts candidates by listing status, board, listing age, profitability, and market capitalization.
• The example holds ten equally weighted stocks for one day and trades at the open.
• The document supplies backtest setup details but no performance results or factor weights.

Tags

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