China Stock Screen Using Amplitude, Float Value, and Turnover

Summary

This stock selection rule screens for shares with amplitude above 1, circulating market value above 10 billion yuan, and turnover between 2% and 9%. It combines a price-movement condition with company size and trading activity, aiming to select larger, relatively liquid stocks with a specified level of movement. The document describes the thresholds and gives a formula reference, but the accompanying implementation details are not fully consistent: the formula omits the amplitude condition, and the sample code’s data fields and amplitude calculation raise questions about whether the stated rule is implemented as intended.

The article identifies several limitations: turnover can vary substantially, the screen does not assess valuation or company fundamentals, and lower-turnover strong companies may be excluded. It proposes adding financial and operating measures, technical and fundamental indicators, or machine learning. No portfolio construction rules, historical performance results, benchmark, or risk-adjusted evidence are provided, so the screening criteria alone do not demonstrate an investment edge.

Key ideas

• The screen selects stocks by amplitude, circulating market value, and a turnover range of 2% to 9%.
• Its stated market value threshold is above 10 billion yuan.
• The article warns that turnover varies and that the screen omits valuation and financial quality.
• The formula reference leaves out the amplitude condition, while the sample code may not implement the stated rule consistently.
• No backtest or portfolio performance evidence is provided.

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