Small-Cap Stock Screening by Turnover, Trade Imbalance, and Profitability

Summary

This article describes a stock selection rule for Chinese equities. It looks for stocks with turnover between 3% and 12%, an external-to-internal trade volume ratio above 1.3, market capitalization no greater than 10 billion yuan, and nonnegative profits. The rationale is to combine trading activity and buying pressure with small company size and a basic profitability filter. The article includes formula and Python examples, but does not report a backtest, returns, or other performance evidence.

The article notes that the screen may exclude promising companies above its size limit and suggests incorporating earnings growth, valuation, and industry measures. Its indicators alone cannot establish business quality or future performance. The supplied formula and code also merit verification: the formula shown does not clearly encode every stated condition, and the meaning and availability of trade-volume fields can vary by data source. The screen should therefore be treated as a preliminary filter rather than a complete investment strategy.

Key ideas

• The screen combines turnover bounds, a trade-volume ratio above 1.3, a market-cap ceiling, and nonnegative profit.
• The stated rationale is to seek active, relatively small companies with buying pressure and no reported losses.
• The article provides formula and Python examples but no performance evidence.
• The screen may omit larger companies and does not fully assess fundamentals or industry conditions.
• Data definitions and the correspondence between the written rules and formulas need checking.

Tags

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