A-Share Dividend Screen with a Narrow Price and Volatility Range

Summary

This note presents a Chinese stock-selection rule built around a 2019 dividend ratio above 25%, a share price of 18.5 yuan, and a constrained daily trading range. The initial description calls for amplitude above 1, while its refined rule narrows amplitude to above 0.5 and below 1; the accompanying formula expresses the bounds as price-range fractions. The author frames the combination as a way to identify high-dividend stocks with moderate price movement and provides example indicator logic and a Python implementation outline.

The note warns that a dividend filter can overlook fundamentals and valuation, and that large price swings may carry additional risk. It recommends adding company, valuation, industry, and market context, and using a more moderate volatility range. The examples refer to a historical dividend period and do not establish that the screen remains relevant or that it produces positive returns. No backtest evidence is given, and the differing amplitude descriptions make the intended initial threshold unclear.

Key ideas

• The proposed screen combines a 2019 dividend ratio above 25%, a price of 18.5 yuan, and an amplitude filter.
• The refined amplitude condition is above 0.5 and below 1, while the initial description differs.
• The document includes example indicator logic and a Python implementation outline for the selection rules.
• Dividend yield alone may overlook company fundamentals and valuation, while volatility adds risk.
• The note offers no performance results and uses a historical dividend criterion.

Tags

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