Small-Cap Stock Screening by Turnover, Float, Market Value, and Profitability

Summary

This stock-selection screen combines trading activity, company size, market value, and profitability. Its final criteria require turnover of up to 12%, circulating market value between 10 and 100 billion yuan, circulating share count no greater than 5.5 billion shares, and positive net profit over the recent three-year period. The article provides example formula and Python implementations, and suggests adding relative valuation, industry trends, and future earnings growth to broaden the analysis.

The accompanying discussion warns that historical profitability may not persist, reported earnings may be unreliable, and a screen based on past results can miss companies with stronger growth prospects. It also proposes a stop-loss level at 90% of the closing price, but supplies no evidence that this rule or the screen has been backtested. The screen is a starting point for candidate selection; it does not specify rebalancing, execution, portfolio construction, or validated returns.

Key ideas

• The screen selects stocks using turnover, circulating market value, share float, and three-year profitability criteria.
• The final stated rules cap turnover at 12%, set market value between 10 and 100 billion yuan, limit share count to 5.5 billion, and require positive three-year net profit.
• The article suggests adding industry trends, expected growth, and relative valuation measures for further analysis.
• Historical profits can be unreliable and may not represent future performance.
• The proposed stop-loss is an example rule without reported backtest results.

Tags

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