Chinese Stock Screen Using Price, Amplitude, and Revenue Growth Filters

Summary

This document presents a Chinese equity selection rule combining daily price amplitude, a price threshold, and historical revenue growth. The stated conditions are amplitude above 1, closing price below 20, and 2021 revenue more than 1.1 times 2018 revenue. The author frames the revenue comparison as a check on company growth and the price and amplitude filters as technical or trading constraints.

The document discusses uncertainty in technical signals and the slower response of annual financial data to economic and industry changes. It suggests considering market, industry, macroeconomic, and regulatory conditions, and mentions machine learning as a possible extension. It supplies indicator-formula and Python examples, but no backtest results or evidence of predictive value. The prose also describes the price condition as a K-line measure, and the examples do not consistently implement the amplitude filter, so the exact screening logic should be checked before use.

Key ideas

• The proposed screen combines amplitude above 1, closing price below 20, and revenue growth from 2018 to 2021 above 1.1 times.
• Annual financial data may lag changes in market and industry conditions.
• The document recommends contextual market and sector information as potential additional inputs.
• Its example implementations do not fully match all stated conditions, and no performance evidence is provided.

Tags

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