Small-Cap Stock Screening with Volatility, Profitability, and Turnover
Summary
This stock screen combines daily price range, company size, profitability, and recent trading activity. It initially selects companies with an amplitude above 1%, market capitalization below 10 billion yuan, no losses, and previous-day turnover above 8%. The document proposes refining the profitability test to require positive net income in each of the most recent four quarters and adding longer-term trend filters, such as price above moving averages, alongside valuation or market-activity measures.
The evidence is a rules-based description plus sample indicator and Python implementations; no backtest results or performance data are supplied. The document itself flags that yesterday’s turnover may not reflect current conditions and that a short-term, sentiment-sensitive screen can neglect long-term prospects. Its code examples also leave data definitions and implementation details unclear, so the stated criteria should be treated as a screening concept rather than a validated trading strategy.
Key ideas
- The screen combines price amplitude above 1%, market capitalization below 10 billion yuan, profitability, and previous-day turnover above 8%.\nA proposed refinement requires positive net income in each of the latest four quarters.\nThe author suggests adding longer-term trend and valuation measures to complement short-term activity.\nThe document provides example formulas and code but reports no backtest or trading performance.\nShort-term turnover and price movement may be poor substitutes for durable business quality or current market conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.