A Chinese A-Share Screen Using Amplitude and Turnover

Summary

The document presents a Chinese stock-selection screen that filters for price amplitude above one percent, excludes Beijing-listed A shares, and keeps stocks with turnover between three and twelve percent. It frames amplitude and turnover as rough measures of price movement and liquidity. The article also proposes additional filters or ranking inputs involving distance from a moving average, company financial measures, industry conditions, and valuation relative to sector peers. A sample formula and Python-style example illustrate parts of the process, but their criteria do not fully align with every threshold described in the prose.

The author warns that the screen omits company fundamentals and growth prospects, treats turnover as an incomplete liquidity measure, and may depend too heavily on unstable amplitude readings. The proposed additions are suggestions rather than validated improvements; no backtest, benchmark, or return evidence is supplied. The screen is therefore a set of candidate-selection rules, not a demonstrated investment strategy, and the inconsistent specifications would need reconciliation before implementation.

Key ideas

• The initial screen selects stocks by amplitude and turnover while excluding Beijing-listed A shares.
• The article proposes adding moving-average distance, financial, industry, and valuation inputs.
• Its illustrative formula and code do not consistently match all criteria described in the prose.
• The author identifies risks from omitted fundamentals, imperfect turnover measures, and unstable amplitude.
• No backtest or performance evidence is given to validate the screen or its suggested refinements.

Tags

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