Small-Cap Chinese Stocks Ranked by Market Value and Price

Summary

This Chinese equities screen combines cross-sectional ranks for total market capitalization, free-float market capitalization, and closing price into a weighted score. It filters out special-treatment and suspended stocks, requires more than a year since listing and positive earnings, and restricts the universe to main-board shares while excluding the STAR and Beijing exchanges. Eligible stocks are sorted by date and then by ascending composite score, favoring the lower-ranked values under the specified construction.

The described backtest holds ten stocks for one day, allocates capital equally, and buys and sells at the open. The document gives a test period beginning in 2020 and an initial capital amount, but provides no readable performance figures or analysis of returns, drawdowns, turnover, or costs. It also does not explain the score coefficients, how the ranks are scaled, or whether the closing-price input is available without lookahead at the stated execution time. These omissions limit assessment and reproducibility.

Key ideas

• The screen ranks total capitalization, free-float capitalization, and closing price to form a composite score.
• It filters for eligible profitable main-board Chinese stocks and caps free-float capitalization.
• The portfolio selects ten names, holds them for one day, and weights them equally.
• The stated execution buys and sells at the open, while the score uses closing-price data.
• The description supplies no performance statistics, transaction-cost treatment, or coefficient details.

Tags

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