A-Share Screening with Price, Volatility, Industry, and Growth Filters

Summary

This document outlines a proposed A-share stock screen built around daily price range, a specified closing price, and a beverage and alcohol import-export industry classification. Its expanded version adds industry leadership, profit growth, a market capitalization ceiling, and a trading-volume threshold. The article presents the rules as a way to combine volatility, price, sector, growth, and liquidity characteristics, and includes example formula and Python implementations.

The rationale is qualitative rather than empirical: no historical returns, benchmark comparison, or backtest results are provided. The author notes that the screen omits broader company fundamentals and that the industry label may be ambiguous, then suggests adding valuation, profitability, size, liquidity, and dividend measures. The supplied examples also contain inconsistencies with the written rules, including differing price conditions and code that does not fully implement every stated filter, so the screen would need careful definition and validation before use.

Key ideas

• The initial screen combines price range, closing price, and a beverage and alcohol industry classification.
• The proposed expanded screen adds profit growth, industry leadership, a market capitalization limit, and volume.
• The article identifies weak fundamental coverage and ambiguous industry classification as risks.
• No performance evidence is supplied, and the sample implementations do not consistently match the written criteria.

Tags

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