A Dividend and Two-Day High Screen for Chinese Equities

Summary

This post proposes screening Chinese stocks for daily amplitude above 1, a 2019 dividend ratio above 25%, and a high that is the highest across a two-day window. It interprets the amplitude as a way to find more active shares, the historical dividend filter as a preference for dividend payers, and the recent high condition as a short-term price-strength signal. Indicator formula and Python examples are included to illustrate combining the filters.

The post cautions that a two-day high says little about long-term company value and may exclude otherwise attractive firms. It recommends considering additional valuation, profitability, and technical measures, though these additions are not tested. No backtest results, return statistics, or evidence of predictive performance are given, and the dividend criterion refers specifically to 2019, limiting its relevance as a current fundamental measure.

Key ideas

• The screen combines daily amplitude, a 2019 dividend ratio threshold, and a two-day high condition.
• The two-day high is intended as a short-term price-strength filter.
• The post warns that a recent high does not establish long-term investment value.
• It proposes adding valuation, profitability, and technical measures, without testing those refinements.
• No backtest or performance evidence is reported.

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