Chinese Stock Screen Using Amplitude, Float, and Recent Return

Summary

The strategy screens Chinese stocks using three conditions: price amplitude above 1, tradable share float no greater than 5.5 billion shares, and a positive return over the prior seven trading sessions. It describes the amplitude and positive return filters as ways to find active stocks with recent gains, while the float limit favors smaller companies. The sample workflow then ranks qualifying stocks by turnover and keeps a fraction of the universe.

The document identifies key limitations: short-term moves can reflect noise or one-off events, small-cap stocks carry greater risk, and the screen omits company fundamentals and longer-term value. It recommends combining the technical filters with financial measures such as return on equity and profit growth, and adjusting the return threshold or holding period. No backtest results or evidence of profitability are reported, so the screening rationale remains a proposal rather than a demonstrated edge.

Key ideas

• The screen requires amplitude above 1, float no greater than 5.5 billion shares, and a positive seven-session return.
• It ranks qualifying stocks by turnover and limits the final selection to a portion of the universe.
• The document warns that short-term filters are vulnerable to noise and sudden market or company events.
• It suggests adding fundamental measures and longer-term factors to improve robustness.
• No backtest evidence is provided to establish the strategy’s performance.

Tags

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