A-Share Screening by Price Amplitude, Float Size, and Turnover

Summary

This document describes a stock screen combining daily price amplitude above 1%, a circulating share count no greater than 5.5 billion, and turnover between 3% and 12%. It presents amplitude as a way to find more volatile stocks, the float-size ceiling as a small-cap filter, and the turnover band as a way to seek active trading without selecting the most extreme turnover. It also suggests adjusting turnover thresholds to market conditions and combining the screen with other measures.

The article provides formula and Python examples for intersecting the three filters, but they do not establish that the screen earns returns or has been tested. The examples also differ in how they calculate amplitude and turnover, so their implementation should be checked against the intended data definitions. The author notes that fixed turnover bounds can behave differently across market regimes and that short-term indicators may miss longer-term trends and company fundamentals. The screen is therefore a candidate selection rule, not a complete investment process.

Key ideas

• The screen selects stocks with amplitude above 1%, circulating shares at or below 5.5 billion, and turnover from 3% to 12%.
• Amplitude is intended to identify stocks with relatively large price movement.
• The float-size and turnover filters aim to focus on smaller and moderately active stocks.
• Turnover thresholds may need adjustment for market conditions and stock characteristics.
• The document gives example formulas but no performance evidence, and its calculation examples should be validated.

Tags

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