Chinese Stock Screen Combining Volatility, Limit-Ups, and Dividend Yield

Summary

This stock-selection rule screens Chinese equities using three conditions: daily amplitude above 1%, at least two limit-up events in the preceding 500 days, and a 2019 dividend ratio above 25%. The post describes these as signals of strong price action and shareholder distributions, and gives example formula and Python implementations. It says the selection is made before the market opens, though the examples do not fully align with that description: one uses average price ranges, and the Python snippet checks fewer than 30 daily observations before applying a 500-day rolling condition.

The article provides no performance results or validation for the screen. Its own caveats are that historical indicators may not capture a company's value or future prospects, a dividend focus can exclude profitable firms with lower payouts, and smaller or recently listed companies may not meet the price-action conditions. It suggests adding earnings, valuation, macroeconomic, and industry measures. The dividend test is tied specifically to 2019, so the rule's relevance depends on the intended market period and data definitions.

Key ideas

• The screen requires amplitude above 1%, at least two limit-up events in 500 days, and a 2019 dividend ratio above 25%.
• The article presents volatility and repeated limit-ups as measures of market activity, while the dividend condition represents shareholder distributions.
• No backtest results or evidence of predictive performance are provided.
• The author notes that the screen may exclude smaller or recently listed firms and overlook companies with lower dividends.
• The examples use differing implementations, so their calculations may not exactly match the stated rule.

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