Chinese Equity Screen Combining Volatility, Business Quality, and Ten-Day Return

Summary

The proposed screen combines a volatility condition, a business-quality assessment, and a positive ten-day return capped below 35%. Its initial description calls for stocks with an amplitude above one and favorable enterprise characteristics. The expanded logic adds code-based eligibility, valuation and quality considerations, a ranking limit, and optional technical indicators. Formula and Python examples are offered as implementation references, with historical price data and company data intended to support the filters.

The document cautions that short-term returns can be noisy, that technical measures may omit industry and company fundamentals, and that concentrated selections increase risk. It recommends broader information and diversification, but supplies no backtest results or explicit definition of business quality. The examples also contain inconsistencies: the market classification is described imprecisely, some formula conditions do not map cleanly to the stated amplitude and return rules, and parts of the sample code rely on undefined or questionable fields. The screen therefore needs careful specification and data validation before research use.

Key ideas

• The screen seeks shares with elevated price range, favorable business characteristics, and positive ten-day performance below 35%.
• The expanded proposal adds code-based eligibility, valuation measures, ranking, and optional technical indicators.
• The source warns that short-term returns are noisy and that technical filters can overlook fundamentals and industry conditions.
• No performance evidence is supplied, and the sample rules and code contain ambiguities that require validation.

Tags

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