Chinese Stock Screen Combining Volatility, Dividends, and Large-Order Activity

Summary

This Chinese-language post proposes screening stocks using three conditions: intraday amplitude above a threshold, a high dividend measure for 2019, and a product involving the day's price change and large-order net activity above a threshold. It frames the filters as combining price volatility, dividend characteristics, and trading activity. The post includes example implementations for a Chinese stock platform and Python, along with a workflow for putting a selection rule into a strategy template.

The post gives no measured returns or risk statistics. It acknowledges that the screen omits many fundamental and macroeconomic factors, and that high large-order activity alone does not establish investment quality. It suggests adding valuation and broader market measures, as well as indicators over different horizons. The supplied formula examples use data fields whose relationship to the stated large-order condition is not fully clear, so the implementation and data definitions need validation before use.

Key ideas

• The proposed screen combines price amplitude, a historical dividend measure, and price change with large-order activity.
• The post provides example implementations for a Chinese stock platform and a Python workflow.
• The author cautions that the filters omit important fundamental and macroeconomic information.
• High trading activity by itself does not establish that a stock is attractive.
• The proposed improvements include valuation data and indicators spanning different time horizons.

Tags

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