A Chinese A-Share Screen Using Amplitude and Turnover

Summary

This stock screen selects Chinese A shares with daily price amplitude above 1 and turnover above 2% but no greater than 9%, while excluding Beijing-listed A shares. It frames amplitude as a measure of price movement and turnover as a measure of trading activity. The document includes formula and Python examples for applying these conditions.

The author notes that this small set of filters can omit companies with strong performance and does not account for fundamentals or company results. Suggested refinements include adding valuation, dividend yield, and technical indicators, and adjusting factor weights. The document provides no backtest, comparison, or measured outcome; the code’s turnover calculation is only an approximation and may not match the stated turnover-rate condition.

Key ideas

• The screen requires daily amplitude above 1 and turnover above 2% through 9%.
• It excludes Beijing A shares.
• The stated rationale combines price movement and trading activity filters.
• The author recommends adding fundamental and technical measures for broader evaluation.
• No performance evidence is reported, and the example turnover calculation may not exactly implement the condition.

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