Chinese Stock Screen for Volatility, Dividends, and Recent Gains

Summary

This China A-share screening idea combines three conditions: amplitude above 1, a dividend ratio above 25% in 2019, and at least one daily gain of 10% or more during the most recent 25 trading days. The article frames these filters as a mix of volatility, dividend characteristics, and recent price strength. It also sketches indicator formulas and sample code, although the code adds other filters, including valuation and market-capitalization checks, that are not part of the stated final screen.

The document offers no backtest results or evidence that the combination predicts returns. It cautions that the criteria do not capture the full market context or reliably forecast future trends, and suggests adding technical and fundamental factors or using weighted multi-factor selection. The fixed 2019 dividend reference and the inconsistency between the stated screen and the extra sample-code conditions limit how directly the examples can be applied.

Key ideas

• The proposed screen requires amplitude above 1 and a 2019 dividend ratio above 25%.
• It also requires at least one daily gain of 10% or more over the last 25 trading days.
• The sample code introduces valuation and size filters beyond the final stated screening rules.
• The article provides no measured returns or backtest evidence for the screen.
• It identifies incomplete market context and weak forecasting ability as key limitations.

Tags

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