Chinese Stock Screen Using Price Range, Dividend Yield, and Auction Flow

Summary

This stock selection method combines three filters: daily price amplitude above 1%, a 2019 dividend yield above 25%, and positive net buying by major participants during the opening auction. The rationale is to find volatile stocks with high distributions that also show buying interest. The document includes example formulas and Python references, but it does not report a backtest or performance evidence.

The post acknowledges that market risk remains and suggests adding financial, industry, and policy measures alongside dynamic adjustments. The rules rely on a particular historical dividend measure and auction-flow data, whose definitions and availability may vary. The document does not explain portfolio construction, position sizing, transaction costs, or how the thresholds were selected, so the screen should be treated as a starting hypothesis rather than a validated strategy.

Key ideas

• The screen requires price amplitude above 1%, a 2019 dividend yield above 25%, and positive auction net buying.
• It combines a price movement filter with a dividend measure and a trading flow signal.
• The post provides no performance results or backtest evidence for the screening rules.
• The author proposes adding more financial, industry, and policy inputs and adjusting the rules over time.

Tags

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