A Chinese Stock Screen Using Amplitude and Control-Shareholder Change
Summary
The proposed stock screen selects shares with daily amplitude above 1, an absolute daily change in controlling-shareholder holdings above 21, and exclusion of the STAR Market. It gives corresponding formula and Python examples for applying these filters. The source frames the conditions as considering volatility and shareholder activity, but does not establish that either condition predicts returns or improves liquidity.
The post suggests broadening the screen with market heat, capital flows, valuation and profitability measures, and technical indicators. These additions are recommendations rather than a fully specified or tested strategy. The document offers no backtest, benchmark comparison, transaction-cost analysis, or portfolio sizing and exit rules, and its introductory claim of long-term holding is not developed into a complete process. The thresholds, data definitions, and handling of unavailable or revised data would need verification before research or trading use.
Key ideas
- The screen requires daily amplitude above 1 and an absolute controlling-shareholder holding change above 21.
- It excludes stocks classified as belonging to the STAR Market.
- The post provides formula and Python examples that implement the three selection conditions.
- Suggested additions include market activity, fund flows, company fundamentals, and technical indicators.
- No backtest or evidence of predictive performance is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.