Chinese Stock Screen Combining Volatility, Dividends, and Recent Limit-Ups

Summary

This Chinese A-share screening proposal selects stocks using three stated conditions: amplitude greater than one, a dividend payout ratio above 25% in 2019, and at least one limit-up move during the preceding month. The accompanying discussion interprets the filters as a combination of elevated price movement, historical shareholder distributions, and recent market attention. It also describes a reference amplitude calculation and gives illustrative Python selection logic.

The write-up warns that recent attention can bring sharp price swings and that the screen lacks enough fundamental measures to assess business quality or prospects. It suggests diversification and protective exits, along with additional technical and fundamental filters. The supplied example code does not clearly implement the stated dividend-ratio threshold and includes additional market-capitalization, valuation, and data-length filters. Its limit-up test uses a fixed percentage change, which may not fit every stock or market rule. No backtest, portfolio returns, or risk statistics are reported, so the criteria are a screening idea rather than demonstrated evidence of an investable edge.

Key ideas

• The screen combines an amplitude threshold, a 2019 dividend payout threshold, and a recent limit-up event.
• The rationale links the filters to volatility, dividend history, and market attention.
• The article identifies concentration, volatility, and incomplete fundamental analysis as risks.
• The sample code adds valuation filters and may not faithfully implement the stated dividend criterion.
• No performance results are provided.

Tags

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