A Historical A-Share Screen Using Amplitude and Shareholder Concentration

Summary

The post proposes screening Chinese stocks by price amplitude, calendar year, and shareholder concentration. Its stated rules require amplitude above 1%, observations from 2021, and a concentration measure between 20% and 70%. It interprets higher amplitude as greater volatility and claims that a moderate concentration range may suit investors seeking a particular risk profile. The example implementation also describes calculating amplitude from daily high, low, and close data, then joining stock and holder information.

No backtest results or evidence are supplied to show that these filters select stocks with stronger future performance. The year restriction makes the screen a historical selection condition rather than a current-market rule. The post itself notes that high volatility carries market risk, concentration data may be imprecise, and additional valuation measures and stop levels could be considered. The formula and prose should be verified before use: the headline’s concentration notation is ambiguous, and the sample code’s calculation and data joins may not represent the intended measure consistently.

Key ideas

• The stated screen combines amplitude above 1%, a 2021 date filter, and concentration between 20% and 70%.
• The example uses daily price data and shareholder information to implement the filters.
• The post gives no evidence that the selection rules forecast returns.
• The 2021 condition limits the rule to historical data rather than a live screen.
• The concentration notation and sample calculation require clarification and validation.

Tags

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