Chinese Stock Screen Using Amplitude, Control Changes, and Prior Turnover

Summary

This document presents a Chinese equity screen combining three conditions: daily amplitude above 1%, a control-related measure above 21 in absolute value, and prior-day actual turnover between 3% and 28%. It frames amplitude as a measure of price movement, the control measure as an indicator of changes in ownership or influence, and prior turnover as a gauge of trading activity. Formula and Python examples illustrate how such conditions might be implemented, with the Python sketch also ranking selected stocks by recent price change.

The material offers no performance results or empirical validation, and the meanings and scaling of the control and turnover fields depend on the data provider. It cautions that market conditions and changing indicators can make selection unstable, and recommends checking data quality, adding other technical or fundamental inputs, and adapting filters to market and industry context. The screen is an example for further evaluation rather than a demonstrated profitable strategy.

Key ideas

• The screen combines amplitude above 1%, an absolute control-related measure above 21, and prior-day actual turnover from 3% to 28%.
• The provided examples show possible formula and Python implementations, with the Python sketch adding a recent-return ranking step.
• The document reports no backtest or evidence that the screen produces profitable trades.
• Indicator definitions and scaling may vary with the data source.
• It recommends validating data and considering additional technical, fundamental, and market context.

Tags

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