Chinese Stock Screen for Volatility, Daily Loss, and Low Concentration

Summary

This Chinese-equity screening idea combines daily price movement with a concentration filter. It selects stocks whose intraday range exceeds 1%, whose daily decline falls between 4% and 5%, and whose concentration measure is no higher than 20%. The accompanying example describes excluding a set of the largest companies by total assets when calculating the candidate list, though the precise concentration measure is not clearly defined.

The note argues that the filters may help avoid highly volatile large-cap names, but it provides no backtest or performance evidence. Its stated limitations include ignoring company fundamentals, industry characteristics, and liquidity, and sensitivity to market conditions. It suggests adding fundamental and industry factors as well as liquidity measures. The selection rule is therefore a basic screening proposal, not a validated investment strategy; the code and indicator descriptions may also interpret the concentration condition inconsistently.

Key ideas

• The screen requires an intraday range above 1% and a daily loss between 4% and 5%.
• It excludes stocks with concentration above 20%, although the measure is not fully defined.
• The note identifies liquidity, fundamentals, industry characteristics, and market conditions as omitted factors.
• No backtest or evidence of returns is presented.

Tags

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