A Chinese Equity Screen Using Range, Dividend Yield, and Daily Return

Summary

The post outlines a stock screen combining three conditions: intraday high-low range relative to the open above 1%, a stated 2019 dividend-yield measure above 25%, and daily change from the open between -5% and 2.6%. It presents the conditions as a way to combine price movement, dividends, and the day’s return, and includes example formulas and data retrieval snippets for applying the filters.

The post also acknowledges that the screen omits broader fundamental and macroeconomic factors and lacks a mechanism to adapt across market regimes. It proposes a dynamic, multi-factor and multi-period process as a possible enhancement, but does not define or test one. No backtest, portfolio construction rules, holding period, transaction costs, or performance evidence are provided. The dividend field’s meaning and the use of a 2019 measure warrant verification before applying the screen to current data.

Key ideas

• The screen combines an intraday range threshold, a 2019 dividend measure, and a bounded daily return.
• The listed price thresholds are an amplitude above 1%, and a return between -5% and 2.6%.
• The post recognizes gaps in macroeconomic and fundamental coverage and regime adaptation.
• It suggests a dynamic multi-factor approach but does not specify or evaluate one.
• No backtest or trading rules establish the screen’s performance.

Tags

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