A Chinese Stock Screen Using Volatility, Recent Gains, and Float Market Cap

Summary

This Chinese stock selection proposal combines three filters: an amplitude measure above one, at least one daily gain of 10% or more within the previous 25 trading days, and circulating market capitalization between 5 and 10 billion yuan. The rationale is to find volatile stocks that have recently shown sharp upward movement while remaining in a middle capitalization range. The document also sketches indicator-based implementations, but some conditions are left as placeholders rather than fully specified.

The article cautions that these simple price and size screens omit company fundamentals, may overlook other relevant variables, and could create concentrated holdings. It suggests adding profitability, growth prospects, leverage, valuation constraints, and broader market conditions. No backtest results, return data, or evidence that these filters predict future performance are supplied, so the proposal should be read as a screening idea rather than a validated strategy.

Key ideas

• The screen requires amplitude above one and a daily gain of at least 10% within the last 25 trading days.
• It targets stocks with circulating market capitalization between 5 and 10 billion yuan.
• The proposed filters aim to combine volatility, recent price strength, and company size.
• The article recommends adding fundamental, valuation, and market-wide checks.
• It provides no backtest evidence and notes risks from simplistic filters and concentrated selections.

Tags

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