Small-Cap Screen Using Turnover and Profitability Conditions

Summary

This document proposes screening listed companies for yesterday's turnover rate between 0.5 and 2 and market capitalization below 10 billion yuan. It suggests that turnover within this range may identify companies with market attention while avoiding the highest activity levels, and that smaller companies may have greater growth potential alongside greater sensitivity to market moves. The final written logic also calls for sound profitability and financial condition, although those requirements are not defined as measurable tests in the example.

The document warns that restrictive filters may return few candidates and that omitting financial quality can produce weak selections. Its code uses a hard-coded list of securities and does not show a profitability or financial-health calculation; the stated market-cap limit in the code also appears inconsistent with the 10 billion yuan threshold. No backtest or performance results are included, so the rationale remains qualitative and the screen's practical behavior is not established.

Key ideas

• The proposed filter combines a prior-day turnover range with a market-cap ceiling of 10 billion yuan.
• The narrative associates moderate turnover with market attention and smaller size with both growth potential and greater market sensitivity.
• The final logic also calls for strong profitability and financial condition, but the document does not define how to measure them.
• The code uses a fixed list of stocks and does not evaluate financial quality.
• The code's market-cap threshold appears inconsistent with the stated ceiling, and no backtest is reported.

Tags

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