A Chinese Equity Screen Using Amplitude and Ten-Day Returns

Summary

The post describes a Chinese A-share screen requiring amplitude above 1 and a ten-day return above zero but below 35%, while excluding Beijing-listed shares. It interprets amplitude as a sign of volatility and the return band as a way to avoid both falling stocks and shares that have risen too far. The accompanying discussion notes that excluding a region can remove candidates and that relying on a few conditions may miss other relevant factors.

There is a material mismatch between the stated selection logic and the examples: the formula and Python example compare the closing price with a ten-day moving average and a level 10% above that average, rather than calculating the stated ten-day return band. The post recommends considering other technical and fundamental measures, but gives no backtest results or evidence that the screen works. Its thresholds and regional exclusion should therefore be treated as an unvalidated screening proposal.

Key ideas

• The stated screen selects for amplitude above 1 and a positive ten-day return below 35%.
• The proposed universe excludes Beijing-listed A-shares.
• The formula examples use a moving-average price band instead of the stated ten-day return condition.
• The post warns that a few screening conditions may overlook other useful information.
• No performance evidence is provided for the proposed screen.

Tags

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