A Chinese Stock Screen Combining Price, Amplitude, Growth, Liquidity, and DEA

Summary

The document proposes an A-share stock screen combining daily price amplitude, a closing price of 18.5 yuan, rising DEA, profit growth above 30%, market capitalization below 10 billion yuan, and a volume-based liquidity threshold. It presents the technical filters as measures of price movement and trend, with the growth and size conditions intended to add company-level selection criteria. It also includes example indicator and Python implementations, though the code’s data queries do not consistently match the stated screening rules.

The post provides no backtest, performance figures, or evidence that the combined conditions predict returns. It warns that technical signals and price volatility may miss fundamentals and increase risk, and suggests broader fundamental and liquidity checks. The screen’s thresholds are presented as adjustable choices, not validated parameters; the implementation and data definitions would need careful review before use.

Key ideas

• The proposed screen combines price amplitude, a fixed closing-price condition, and rising DEA with growth, market-capitalization, and liquidity filters.
• The post frames amplitude and DEA as technical measures and the other conditions as company and trading-activity filters.
• It provides example indicator and Python implementations, but they may not faithfully implement every stated condition.
• The document gives no backtest or performance evidence for the screen.
• It cautions that technical filters can omit fundamental information and that volatile stocks may carry greater risk.

Tags

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