A-Share Stock Screen Combining Amplitude, Control, and Fundamental Filters

Summary

This Chinese A-share screening rule starts with price amplitude above 1 and a current control indicator above 21, while excluding Beijing A-shares. Its final proposed version adds return on equity above 15%, year-over-year revenue growth above 20%, and a price-to-earnings ratio below 40. The document supplies example formulas for combining the filters, but does not define the control indicator clearly or report backtest results.

The stated rationale is to use short-term technical measures while limiting exposure to a selected market segment and adding profitability, growth, and valuation checks. The author acknowledges that excluding Beijing-listed shares may omit attractive companies, technical filters can distract from longer-term financial conditions, and the screen lacks sufficient risk controls. Suggested improvements include adapting thresholds to market conditions and managing position size. These recommendations are not supported by reported empirical evidence, so the screen should be treated as a proposed filter rather than a validated strategy.

Key ideas

• The initial screen requires amplitude above 1, control above 21, and excludes Beijing A-shares.
• The proposed final screen also requires ROE above 15%, revenue growth above 20%, and PE below 40.
• The document provides formula examples but does not clearly define the control indicator or show performance results.
• It warns that segment exclusions, short-term filters, and weak risk controls can lead to missed opportunities or losses.

Tags

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