Chinese Stock Screen Using Amplitude, Ten-Day Returns, and Float Market Cap

Summary

This post describes a Chinese equity selection screen with three filters: price amplitude above 1%, a ten-day price gain greater than zero but below 35%, and circulating market capitalization between 5 billion and 10 billion yuan. Its accompanying Python example calculates amplitude from the high, low, and opening prices; computes the ten-day return from closing prices; and filters by market capitalization. It then sorts qualifying rows by a large-order flow measure, though that ranking criterion is not part of the stated three-filter selection logic.

The post argues that the filters aim to find stocks with some movement and positive but not extreme recent gains, while limiting the size range. It cautions that market capitalization alone omits company fundamentals and industry position, and that market conditions and investor sentiment can affect short-term selection. No backtest results or validation are presented. The example depends on the input data’s units and definitions, and the proposed screen is not evidence of profitability.

Key ideas

• The screen selects stocks by amplitude, ten-day price return, and circulating market capitalization.
• The example derives amplitude from high, low, and opening prices and calculates return from closing prices.
• The code sorts the filtered stocks by a large-order net-flow measure in addition to the stated filters.
• The post notes that market capitalization does not capture fundamentals or industry position.
• No performance results are provided, and changing market conditions may affect the screen.

Tags

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