A Low-Priced Chinese Stock Screen Using Volatility and Trend Filters

Summary

This Chinese A-share screening example starts with stocks priced below a stated threshold, with daily amplitude above a stated level, while excluding Beijing-listed shares. It then proposes a more elaborate version that adds fundamental eligibility, a rising sequence of short- to longer-term moving averages, and a ranking based on market capitalization relative to turnover. The document includes reference formulas and Python-like pseudocode for implementing these filters.

The post warns that price alone is a weak selection criterion and that the screen omits broader fundamentals and market direction. It recommends combining fundamental, technical, and market-heat measures, but supplies no backtest, return series, or evidence that the revised rules improve results. The example is therefore a specification for a candidate-stock filter rather than a demonstrated strategy. Threshold choices, ranking interpretation, data definitions, execution assumptions, and the number of holdings would need independent clarification and testing before practical use.

Key ideas

• The initial screen combines low share price, daily amplitude, and an exchange-board exclusion.
• The proposed refinement adds fundamental checks and a rising moving-average sequence.
• A capitalization-to-turnover measure is used to rank candidates.
• The post highlights omitted fundamentals and market trends as limitations.
• No backtest or performance evidence is supplied.

Tags

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