A-Share Screen for High Amplitude and Smaller Float Size
Summary
This document presents a simple China A-share selection rule: retain stocks with prior-day amplitude above 1%, circulating shares no greater than 5.5 billion, and exclude Beijing-listed shares. Its stated rationale is to focus on more volatile stocks with relatively smaller floats while avoiding a particular regional segment. The accompanying examples describe combining these filters and ranking qualifying stocks by turnover to select a subset.
The article gives no performance results or historical evaluation. It warns that volatile markets may undermine the screen, excluding Beijing shares can shrink the eligible universe, and broad-market or industry moves can dominate stock-level selection. It recommends adding fundamental and technical analysis, diversifying across securities and industries, and expanding the geographic universe. These are general suggestions rather than specified, tested rules; the screen alone does not define entry timing, exits, or risk limits.
Key ideas
- The screen selects A-shares with prior-day amplitude above 1% and circulating shares at or below 5.5 billion.
- Beijing-listed A-shares are excluded from the eligible universe.
- The examples rank qualifying stocks by turnover to choose a smaller set.
- The document offers no backtest evidence and notes market, industry, and universe-size risks.
- It suggests adding analysis and diversification, but does not define executable risk controls.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.