Chinese Equity Screen for Volatility, Profitability, Market Value, and Float

Summary

This Chinese stock-selection rule combines a daily range filter with company size, profitability, and share-float criteria. It starts with stocks whose intraday high-low range exceeds 1% of the prior close, market value is at most 10 billion yuan, net profit is positive, and circulating shares do not exceed 5.5 billion. The revised version specifies positive net profit for each of the latest four quarters and suggests adding technical, financial, sector, and market-heat indicators.

The document identifies risks from changes in float-related conditions and from excluding smaller or weaker stocks. It recommends monitoring fundamentals and controlling position size and losses. It supplies example formula and Python snippets, but does not report a backtest, performance evidence, or validation of the data fields and implementation. The proposed extra indicators are not defined, so the screen remains a broad template rather than a fully specified strategy.

Key ideas

• The initial screen combines a range threshold, a market-value ceiling, positive profitability, and a maximum circulating share count.
• The revised rule requires positive net profit in each of the latest four quarters.
• The document suggests adding technical, fundamental, sector, and market-heat measures.
• It flags changing float conditions and recommends position controls and stop losses.
• No backtest or evidence of investment performance is provided.

Tags

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