Chinese Stock Screen Using Price Amplitude, Float Size, and Daily Return

Summary

This post presents a short-term Chinese equity screen based on three conditions: daily price amplitude above 1%, tradable share count no greater than 5.5 billion, and daily return between -5% and 2.6%. Its rationale is that the amplitude condition identifies stocks with some movement, while the float limit favors smaller companies. The return band restricts the candidates to stocks that have not fallen beyond the lower threshold or risen past the upper one. Example formulas and Python logic show how the conditions can be combined; the Python example then ranks qualifying stocks by volume ratio and keeps a fraction of the candidate set.

The post characterizes the approach as heavily dependent on technical and short-term price measures. It cautions that this can overlook company fundamentals and that recent returns do not establish long-term value. It suggests adding indicators such as MACD or RSI alongside valuation and dividend measures. No backtest results or profitability evidence are supplied, and the suggested thresholds and ranking procedure are not validated in the document.

Key ideas

• The screen requires amplitude above 1%, float of at most 5.5 billion shares, and return between -5% and 2.6%.
• The post treats amplitude as a way to find stocks with short-term trading movement.
• Its rationale associates smaller float with potentially higher risk and reward.
• The discussion warns that price-based filters omit fundamentals and longer-term value.
• It offers example formulas and code but reports no tested performance.

Tags

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