Small-Cap Stock Screening with Turnover and Auction-Volume Filters

Summary

This Chinese stock-screening note describes a short-term equities filter combining turnover, circulating share count, and a relationship between yesterday’s turnover and today’s auction volume relative to yesterday’s volume. It gives a turnover range of 3% to 12%, a circulating-share ceiling of 5.5 billion, and a composite ratio range of 0.5 to 2. The note also proposes filtering for smaller circulating market value, positive recent earnings growth, and quarterly growth above the industry average, with valuation measures such as PE, PB, and ROE as possible additions.

The author cautions that the approach emphasizes short-term price movement and can miss candidates because of its selection window. The rationale and thresholds are presented without historical performance results or a tested backtest. The supplied formula examples also appear to treat separate volume ratios as independent checks, so implementation should verify that they match the stated composite condition. The note frames these filters as selection criteria, not a complete portfolio or execution plan.

Key ideas

• The screen combines 3%–12% turnover with a circulating-share limit of 5.5 billion.
• It compares yesterday’s turnover and today’s auction volume against yesterday’s volume using a stated range of 0.5 to 2.
• The proposed refinement adds recent earnings growth and valuation or profitability measures.
• The author warns that a short-term focus and limited selection window can create risk or miss stocks.
• No backtest results are provided to establish effectiveness.

Tags

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