A Chinese Equity Screen Using Amplitude, Volume, Turnover, and Holdings

Summary

This post describes a Chinese stock selection screen combining price movement, trading activity, and shareholder concentration. It specifies amplitude above 1 and a product of yesterday's turnover rate and today's auction volume relative to yesterday's volume between 0.5 and 2. It also describes a concentration condition as below 70% or above 20%. The accompanying Python example uses listed Shenzhen stocks, holder data, daily price and volume history, and then sorts qualifying names by closing price.

The screen is presented as a way to find stocks with notable price fluctuation and particular ownership structures, but the post supplies no backtest, performance figures, or evidence that these conditions predict returns. There is also a material mismatch between the stated selection logic and the code: the prose says concentration can be below 70% or above 20%, while the code applies a conjunction involving summed holdings of the top five and top two holders. The author notes that concentration filters may exclude successful companies and that simple indicators can misclassify stocks, suggesting additional financial measures as possible refinements.

Key ideas

• The screen combines a price amplitude threshold with a turnover and auction-volume ratio range.
• It also uses shareholder concentration as a filter, though the prose and code express different conditions.
• The example applies the screen to listed Shenzhen stocks and ranks selections by closing price.
• The post gives no return evidence and warns that simple filters can exclude successful companies or produce misclassifications.

Tags

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